Specification and estimation of random effects models with serial correlation of general form

Arbeitspapier

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood estimator is derived and a coherent model selection strategy is suggested for determining the orders of serial correlation as well as the importance of time and individual effects. The methods are applied to the estimation of a production function for the Japanese chemical industry using a sample of 72 firms observed during 1968-1987. Empirically, our focus is on measuring the returns to scale and technical change for the industry.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 433

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Hypothesis Testing: General ; Estimation: General ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
• Thema: Panel data ; serial correlation ; random effects ; ARCH-Modell ; Stichprobenverfahren ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Skoglund, Jimmy ; Karlsson, Sune
• Ereignis: Veröffentlichung
• (wer): Stockholm School of Economics, The Economic Research Institute (EFI)
• (wo): Stockholm
• (wann): 2001

Weitere Informationen

• Handle: http://hdl.handle.net/10419/56186
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ