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Estimating Error Component Models WithGeneral MA(q)Disturbances

Published online by Cambridge University Press:  11 February 2009

Badi H. Baltagi  and
Qi Li
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Abstract

This paper provides a simple estimation method for anerror component regression model with generalMA(q) remainder disturbances. Theestimation method utilizes the transformationderived by Baltagi and Li [3] for an error componentmodel with autoregressive remainder disturbances,and a standard orthogonalizing algorithm for thegeneral MA(q) model. Thisestimation method is computationally simpleutilizing only least-squares regressions. This isimportant for panel data regressions where bruteforce GLS is in many cases not feasible.Thisestimation method performs well relative to true GLSin Monte-Carlo experiments.

Information

Type
Brief Report
Information
Econometric Theory , Volume 10 , Issue 2 , June 1994 , pp. 396 - 408
Copyright
Copyright © Cambridge University Press 1994

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