Abstract
In this chapter we discuss the error components model — probably the most commonly used approach of modelling economic relationships using panel data.
Keywords
- Variance Component
- Individual Effect
- Positive Definite Matrix
- Asymptotic Covariance Matrix
- Good Linear Unbiased Estimator
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
Ahn, S.C. - Schmidt, P. [1990]: Efficient Estimation of Models for Dynamic Panel Data; Paper presented at the Third Conference on Panel Data, Paris.
Amemiya, T. [1971]: The Estimation of Variances in Variance Components Model; International Economic Review, Vol. 12, pp. 1–13.
Amemiya, T. - MaCurdy, T.E. [1986]: Instrumental-Variable Estimation of an Error Components Model; Econometrica, Vol. 54, pp. 869–880.
Arora, S.S. [1973]: Error Components Regression Models and their Applications; Annals of Economic and Social Measurement, Vol. 2
Balestra, P. - Nerlove, M. [1966]: Pooling Cross Section and Time Series Data in the Estimation of a Dynamic Model; Econometrica, Vol. 34, pp. 585–612.
Baltagi, B.H. [1981]: Pooling: An Experimental Study of Alternative Testing and Estimation Procedures in a Two-Way Error Components Model; Journal of Econometrics, Vol. 17, pp. 21–49.
Baltagi, B.H. - Griffin, J.M. [1988]: A Generalized Error Components Model with Heteroscedastic Disturbances; International Economic Review, Vol. 29, pp. 429–440.
Baltagi, B.H. - Chang, Y. - Li, Q. [1990]: Monte Carlo Results on Several New and Existing Tests for the Error Component Model; Texas A & M University, Working Paper November 1990.
Baltagi, B.H. - Li, Q. [1991]: A Transformation That Will Circumvent the Problem of Autocorrelation in an Error Components Model; Journal of Econometrics, Vol. 48, pp. 385–393.
Bhargava, A. - Franzini, L. - Narendranathan, W. [1982]: Serial Correlation and the Fixed Effects Model; Review of Economic Studies, Vol. 49, pp. 533–549.
Berzeg, K. [1979]: The Error Components Model, Conditions for the Existence of the Maximum Likelihood Estimates; Journal of Econometrics, Vol. 10, pp. 99–102.
Breusch, T.S. [1987]: Maximum Likelihood Estimation of Random Effects Models; Journal of Econometrics, Vol. 36, pp. 383–389.
Breusch, T.S. - Pagan, A.R. [1980]: The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics; Review of Economic Studies, Vol. XLVII, pp. 239–253.
Breusch, T.S. - Mizon, G.E. - Schmidt, P. [1989]: Efficient Estimation Using Panel Data; Econometrica, Vol. 57, pp. 695–700.
Fuller, W.A. - Battese, G.E. [1974]: Estimation of Linear Models with Crossed-Error Structure; Journal of Econometrics, Vol. 2, pp. 67–78.
Harville, D.A. [1977]: Maximum Likelihood Approaches to Variance Components Estimation and to Related Problems; Journal of the American Statistical Association, Vol. 72, pp. 320–338.
Hausman, J.A. [1978]: Specification Tests in Econometrics; Econometrica, Vol 46, pp. 1251–1271.
Hausman, J.A. - Taylor, W.E. [1981]: Panel Data and Unobservable Individual Effects; Econometrica, Vol. 49, pp. 1377–1398.
Henderson, C.R. JR. [1971]: Comment on “The Use of Error Components Models in Combining Cross Sections with Time Series Data”; Econometrica, Vol. 39, pp. 397–401.
Honda, Y. [1985]: Testing the Error Components Model with Non-Normal Disturbances; Review of Economic Studies, Vol. 52, pp. 681–690.
King, M.L. - Evans, M.A. [1986]: Testing for Block Effects in Regression Models Based on Survey Data; Journal of the American Statistical Association, Vol. 81, pp. 677–679.
King, M.L. - Hillier, G.H. [1985]: Locally Best Invariant Tests of the Error Covariance Matrix of the Linear Regression Model; Journal of the Royal Statistical Society, Series B , Vol. 47, pp. 98–102.
King, M.L. - Wu, P.X. [1990]: Locally Optimal One-Sided Tests for Multiparameter Hypotheses; Monash University Working Paper, N. 2/90.
Lillard, L.A. - Willis, R.J. [1978]: Dynamic Aspects of Earning Mobility; Econometrica, Vol. 46, pp. 985–1012.
Lillard, L.A. - Willis, R.J. [1979]: Components of Variation in Panel Earnings Data: American Scientists 1960-1970; Econometrica, Vol. 39, pp. 437–454.
Maddala, G.S. [1971]: The Use of Variance Components Models in Pooling Cross Section and Time Series Data; Econometrica, Vol. 39, pp. 341–358.
Maddala, G.S. - Mount, T.D. [1973]: A Comparative Study of Alternative Estimators for Variance Components Models Used in Econometric Applications; Journal of the American Statistical Association, Vol. 68, pp. 324–328.
Maeshiro, A. [1979]: On the Retention of the First Observations in Serial Correlation Adjustments of Regression Models; International Economic Review, Vol. 20, pp. 259–265.
Magnus, J. [1978]: Maximum Likelihood Estimation of the GLS Model with Unknown Parameters in the Disturbance Covariance Matrix; Journal of Econometrics, Vol. 7, pp. 281–312.
Magnus, J. [1982]: Multivariate Error Components Analysis of Linear and Nonlinear Regression Models by Maximum Likelihood; Journal of Econometrics, Vol. 19, pp. 239–285.
Magnus, J. - Woodland, D.C. [1988]: On the Estimation of the Multivariate Regression Models Containing Serially Correlated Error Components; International Economic Review, Vol. 29, pp. 707–725.
Mazodier, P. [1971]: L’Estimation des Modeles a Erreurs Composee; Annates de l’’INSEE, N. 7, pp. 43–72.
Mazodier, P. - Trognon A. [1978]: Heteroscedasticity and Stratification in Error Components Models; Annates de l’INSEE, N. 30-31, pp. 451–509.
Moulton, B.R. - Randolph, W.C. [1989]: Alternative Tests of the Error Components Model; Econometrica, Vol. 57, pp. 685–693.
Mundlak, Y. [1978]: On the Pooling of Time Series and Cross Section Data; Econometrica, Vol. 46, pp. 69–86.
Nerlove, M. [1971]: Note on Error Components Models; Econometrica, Vol 39, pp. 383–396.
Rao, C.R. - Kleffe, J. [1980]: Estimation of Variance Components; In Handbook of Statistics, Krishnakumar, P.R. (ed.), Vol. 1, North Holland, pp. 1-40.
Swamy, P.A.V.B. - Arora, S.S. [1972]: The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models; Econometrica, Vol. 40, pp. 253–260.
Taylor, W.E. [1980]: Small Sample Considerations in the Estimation from Panel Data; Journal of Econometrics, Vol. 13, pp. 203–223.
Trognon, A. [1984]: Econometrie II; INSEE-ENSAE, Malakoff.
Wallace, T.D. - Hussain, A. [1969]: The Use of Error Components Models in Combining Cross Section with Time Series Data; Econometrics, Vol. 37, pp. 55–72.
Wansbeek, T. [1989]: Transformation for Panel Data When the Disturbances are Autocorrelated; Szigma, Vol. 21, N. 1-4, pp. 6–13.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1992 Kluwer Academic Publishers
About this chapter
Cite this chapter
Matyas, L. (1992). Error Components Models. In: Mátyás, L., Sevestre, P. (eds) The Econometrics of Panel Data. Advanced Studies in Theoretical and Applied Econometrics, vol 28. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-0375-3_4
Download citation
DOI: https://doi.org/10.1007/978-94-009-0375-3_4
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-6655-6
Online ISBN: 978-94-009-0375-3
eBook Packages: Springer Book Archive