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An Approximate Transformation for the Error Component Model with MA(q) Disturbances

Published online by Cambridge University Press:  18 October 2010

Badi H. Baltagi  and
Qi Li
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Abstract

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Type
Problems
Information
Econometric Theory , Volume 8 , Issue 4 , December 1992 , pp. 582 - 583
Copyright
Copyright © Cambridge University Press 1992

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References

REFERENCES

1.Baltagi, B.H. & Li, Q.. A transformation that will circumvent the problem of autocorrelation in an error component model. Journal of Econometrics 48 (1991): 385–393.CrossRefGoogle Scholar
2.Choudhury, A.H. & Louis, R.S. St.. A note on Park and Heikes 5 (1983) modified approximate estimator for the first-order moving-average process. Journal of Econometrics 46 (1990): 399–406.CrossRefGoogle Scholar
3.Judge, G.G., Griffiths, W.E., Hill, R.C., Lutkepohl, H. & Lee, T.C.. The Theory and Practice of Econometrics. New York: Wiley, 1985.Google Scholar