Estimation of Serially Correlated Error Components Models Using Whittle’s Approximate Maximum Likelihood Method

Author(s)/Creator(s)

Badi H. Baltagi, Syracuse UniversityFollow
Georges Bresson, Université Paris IIFollow
Jean-Michel Etienne, Université Paris-Stud 11Follow

Description/Abstract

This chapter studies the estimation of error components models with serial correlation of the 𝐴𝑅𝑀𝐴(𝑝, 𝑞) type using Whittle’s (Whittle, 1953) approximate maximum likelihood method. This is done for the one-way and two-way error components panel data model. Monte Carlo simulations are performed that investigate the small sample performance of this method.

Document Type

Working Paper

Date

9-3-2025

Keywords

Econometrics

Language

English

Series

Working Papers Series

Disciplines

Econometrics | Economics

ISSN

1525-3066

Additional Information

CPR Working Paper No. 271

Recommended Citation

Baltagi, Badi H.; Bresson, Georges; and Etienne, Jean-Michel, "Estimation of Serially Correlated Error Components Models Using Whittle’s Approximate Maximum Likelihood Method" (2025). Center for Policy Research. 504.
https://surface.syr.edu/cpr/504

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.