SSE/EFI Working Paper Series in Economics and Finance
No 432:
Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation
Jimmy Skoglund ()
and Sune Karlsson ()
Abstract: This paper considers the large sample behavior of the
maximum likelihood estimator of random effects models with serial
correlation in the form of AR(1) for the idiosyncratic or time-specific
error component. Consistent estimation and asymptotic normality as N and/or
T grows large is established for a comprehensive specification which nests
these models as well as all commonly used random effects models. When only
N or T grows large only a subset of the parameters are consistent and
asymptotic normality is established for the consistent subsets.
Keywords: Panel data; serial correlation; random effects; (follow links to similar papers)
JEL-Codes: C12; C13; C23; (follow links to similar papers)
47 pages, February 13, 2001
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