6533b850fe1ef96bd12a80ca

RESEARCH PRODUCT

Behaviour of common estimators in dynamic error-components models with autocorrelated disturbances

Serge-alain Matondzi Ngouma

subject

Conditions initialesEconomic theoryEconomicsModèles dynamiques à erreurs composéesEstimation convergenteStatisticsLimites en probabilité[ SHS.ECO ] Humanities and Social Sciences/Economies and financesAutocorrélationOperations research[SHS.ECO]Humanities and Social Sciences/Economics and FinanceProriétés asymptotiques[SHS.ECO] Humanities and Social Sciences/Economics and Finance

description

The purpose of this paper is to make a presentation of the properties of a set of estimators comprising the within, between, OLS and GLS estimators in the study of dynamic error - components models with autocorrelated disturbances. We underline in this study the importance of the statistical distribution governing the initial values for the process and the structure of xit variable for the limiting values of the estimators when the temporal dimension is fixed but the individual dimension N grows indefinitly.

yearjournalcountryeditionlanguage
1997-01-01
https://hal.science/hal-01526990