Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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EFFICIENT ESTIMATION IN SEMIPARAMETRIC RANDOM EFFECT PANEL DATA MODELS WITH AR(p) ERRORS

  • Published : 2007.12.31
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Abstract

In this paper we consider semiparametric random effect panel models that contain AR(p) disturbances. We derive the efficient score function and the information bound for estimating the slope parameters. We make minimal assumptions on the distribution of the random errors, effects, and the regressors, and provide semiparametric efficient estimates of the slope parameters. The present paper extends the previous work of Park et al.(2003) where AR(1) errors were considered.

Keywords

References

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