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Estimation of dynamic error-component models with autocorrelated disturbances by the instrumental variable method
[Estimation des modèles dynamiques à erreurs composées avec autocorrélation par la méthode des variables instrumentales]

Author

Listed:
  • Serge Alain Matondzi Ngouma

    (LATEC - Laboratoire d'Analyse et de Techniques Economiques [UMR 5601] - UB - Université de Bourgogne - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we consider a dynamic error-components models with autocorrelated disturbances. We analyse the efficient estimation procedure of autocorrelation parameter and we try to find out whether moment conditions of a dynamic model without autocorrelation are valid when the model includes autocorrelation. We propose two efficient estimation methods of autocorrelation parameter in addition to Baltagi and Li (1994) estimator. We show that all moment conditions of a dynamic model without autocorrelation are not valid in dynamics errors-components models with autocorrelated disturbances.

Suggested Citation

  • Serge Alain Matondzi Ngouma, 1996. "Estimation of dynamic error-component models with autocorrelated disturbances by the instrumental variable method [Estimation des modèles dynamiques à erreurs composées avec autocorrélation par la ," Working Papers hal-01526978, HAL.
    • Handle: RePEc:hal:wpaper:hal-01526978
    Note: View the original document on HAL open archive server: https://hal.science/hal-01526978
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