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This chapter studies the estimation of error components models with serial correlation of the ARM(p, q) type using Whittle’s (Whittle, 1953) approximate maximum likelihood method. This is done for the one-way and two-way error components panel data model. Monte Carlo simulations are performed that investigate the small sample performance of this method.

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Estimation of Serially Correlated Error Components Models Using Whittle’s Approximate Maximum Likelihood Method

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  • 发表日期：

    2025年

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  • Badi H. Baltagi,
  • Georges Bresson,
  • Jean-Michel Etienne

摘要

This chapter studies the estimation of error components models with serial correlation of the ARM(p, q) type using Whittle’s (Whittle, 1953) approximate maximum likelihood method. This is done for the one-way and two-way error components panel data model. Monte Carlo simulations are performed that investigate the small sample performance of this method.