Double Autocorrelation in Two Way Error Component Models
ABSTRACT
In this paper, we extend the works by [1-5] accounting for autocorrelation both in the time specific effect as well as the remainder error term. Several transformations are proposed to circumvent the double autocorrelation problem in some specific cases. Estimation procedures are then derived.
In this paper, we extend the works by [1-5] accounting for autocorrelation both in the time specific effect as well as the remainder error term. Several transformations are proposed to circumvent the double autocorrelation problem in some specific cases. Estimation procedures are then derived.
Cite this paper
nullJ. Brou, E. Kouassi and K. Kymn, "Double Autocorrelation in Two Way Error Component Models," Open Journal of Statistics, Vol. 1 No. 3, 2011, pp. 185-198. doi: 10.4236/ojs.2011.13022.
nullJ. Brou, E. Kouassi and K. Kymn, "Double Autocorrelation in Two Way Error Component Models," Open Journal of Statistics, Vol. 1 No. 3, 2011, pp. 185-198. doi: 10.4236/ojs.2011.13022.
References
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[1] N. S. Revankar, “Error Component Models with Serial Correlated Time Effects,” Journal of the Indian Statistical Association, Vol. 17, 1979, pp. 137-160. [2] B. H. Baltagi and Q. Li, “A Transformation that will Circumvent the Problem of Autocorrelation in an Error Component Model,” Journal of Econometric, Vol. 48, No. 3, 1991, pp. 385-393. doi:10.1016/0304-4076(91)90070-T [3] B. H. Baltagi and Q. Li, “Prediction in the One-Way Error Component Model with Serial Correlation,” Journal of Forecasting, Vol. 11, No. 6, 1992, pp. 561-567. doi:10.1002/for.3980110605 [4] B. H. Baltagi and Q. Li, “Estimating Error Component Models with General MA(q) Disturbances,” Econometric Theory, Vol. 10, No. 2, 1994, pp. 396-408. doi:10.1017/S026646660000846X [5] J. W. Galbraith and V. Zinde-Walsh, “Transforming the Error Component Model for Estimation with general ARMA Disturbances,” Journal of Econometrics, Vol. 66, No. 1-2, 1995, pp. 349-355. doi:10.1016/0304-4076(94)01621-6 [6] P. Balestra and M. Nerlove, “Pooling Cross-Section and Time-Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas,” Econometrica, Vol. 34, No. 3, 1966, pp. 585-612. doi:10.2307/1909771 [7] B. H. Baltagi, “Econometric Analysis of Panel Data,” 3rd Edition, John Wiley and Sons, New York, 2008. [8] C. Hsiao, “Analysis of Panel Data,” Cambridge University Press, Cambridge, 2003. [9] G. S. Maddala, “Limited Dependent and Qualitative Variables in Econometrics,” Cambridge University Press, Cambridge, 1983. [10] G. S. Maddala, “The Econometrics of Panel Data,” Vols I and II, Edward Elgar Publishing, Cheltenham, 1983. [11] M. H. Pesaran, “Exact Maximum Likelihood Estimation of a Regression Equation with a First Order Moving Average Errors,” The Review of Economic Studies, Vol. 40, No. 4, 1973, pp. 529-538. [12] P. A. V. B. Swamy and S. S. Arora, “The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models,” Econometrica, Vol. 40, No. 2, 1972, pp. 261-275. doi:10.2307/1909405 [13] M. Nerlove, “A Note on Error Components Models,” Econometrica, Vol. 39, No. 2, 1971, pp. 383-396. doi:10.2307/1913351 [14] G. S. Maddala, “The Use of Variance Components Models in Pooling Cross Section and Time Series Data,” Econometrica, Vol. 39, No. 2, 1971, pp. 341-358. doi:10.2307/1913349 [15] T. Amemiya, “The Estimation of the Variances in a Variance-Components Model,” International Economic Review, Vol. 12, No. 1, 1971, pp. 1-13. doi:10.2307/2525492 [16] H. Theil, “Principles of Econometrics,” John Wiley and Sons, New York, 1971. [17] T. D. Wallace and A. Hussain, “The Use of Error Components Models in Combining Cross-Section and Time Series Data,” Econometrica, Vol. 37, No. 1, 1969, pp. 55- 72. doi:10.2307/1909205 [18] T. A. MaCurdy, “The Use of Time Series Processes to Model the Error Structure of Earnings in a Longitudinal Data Analysis,” Journal of Econometrics, Vol. 18, No. 1, 1982, pp. 83-114. doi:10.1016/0304-4076(82)90096-3 [19] S. J. Prais and C. B. Winsten, “Trend Estimators and Serial Correlation,” Unpublished Cowles Commission Discussion Paper: Stat No. 383, Chicago, 1954. [20] W. A. Fuller and G. E. Battese, “Estimation of Linear Models with Cross-Error Structure,” Journal of Econometrics, Vol. 2, No. 1, 1974, pp. 67-78. doi:10.1016/0304-4076(74)90030-X [21] T. J. Wansbeek and A. Kapteyn, “A Simple Way to obtain the Spectral Decomposition of Variance Components Models for Balanced Data,” Communications in Statistics, Vol. 11, No. 18, 1982, pp. 2105-2112.