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Behaviour of common estimators in dynamic error-components models with autocorrelated disturbances
[Comportement des estimateurs usuels dans les modèles dynamiques à erreurs composées avec autocorrélation]

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

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.

Suggested Citation

  • Serge-Alain Matondzi Ngouma, 1997. "Behaviour of common estimators in dynamic error-components models with autocorrelated disturbances [Comportement des estimateurs usuels dans les modèles dynamiques à erreurs composées avec autocorr," Working Papers hal-01526990, HAL.
    • Handle: RePEc:hal:wpaper:hal-01526990
    Note: View the original document on HAL open archive server: https://hal.science/hal-01526990
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