ADAPTIVE ESTIMATION OF HETEROSKEDASTIC ERROR COMPONENT MODELS

2005 ◽  
Vol 24 (1) ◽  
pp. 39-58 ◽  
Author(s):  
Badi H. Baltagi ◽  
Georges Bresson ◽  
Alain Pirotte
Keyword(s):  
Adaptive Estimation ◽  
Error Component ◽  
Component Models

Estimating Error Component Models With General MA(q) Disturbances

1994 ◽  
Vol 10 (2) ◽  
pp. 396-408 ◽  
Author(s):  
Badi H. Baltagi ◽  
Qi Li
Keyword(s):  
Monte Carlo ◽  
Panel Data ◽  
Estimation Method ◽  
Error Component ◽  
Component Model ◽  
Brute Force ◽  
Monte Carlo Experiments ◽  
Error Component Model ◽  
Simple Estimation ◽  
Component Models

This paper provides a simple estimation method for an error component regression model with general MA(q) remainder disturbances. The estimation method utilizes the transformation derived by Baltagi and Li [3] for an error component model with autoregressive remainder disturbances, and a standard orthogonalizing algorithm for the general MA(q) model. This estimation method is computationally simple utilizing only least-squares regressions. This is important for panel data regressions where brute force GLS is in many cases not feasible.This estimation method performs well relative to true GLS in Monte-Carlo experiments.

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