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The Economic Research Institute, Stockholm School of Economics 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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