Performance of the OLS estimator in presence of autocorrelation

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F13%3A00205538" target="_blank" >RIV/62156489:43110/13:00205538 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1063/1.4825890" target="_blank" >http://dx.doi.org/10.1063/1.4825890</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.4825890" target="_blank" >10.1063/1.4825890</a>

Result language
angličtina
Original language name
Performance of the OLS estimator in presence of autocorrelation
Original language description
In this paper we show behaviour of some estimators for linear panel data models with autocorrelated idiosyncratic noise. This contribution then discusses properties of widely used estimators as ordinary least square, and Prais-Winsten estimator, respectively, in case of temporally correlated panel data. By a Monte Carlo study we assess the bias and efficiency of the correction methods under different data generating processes. Using Monte Carlo simulation we investigate how the performance of the OLS and GLS estimators varies according to increasing dependence in time dimension, i.e. we expect an increasing bias of the OLS estimator as temporal correlation augments.
Czech name
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Czech description
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Project
<a href="/en/project/7E12049" target="_blank" >7E12049: Welfare, Wealth and Work for Europe</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
11th International Conference of Numerical Analysis and Applied Mathematics 2013: ICNAAM 2013, AIP Conference Proceedings
ISBN
978-0-7354-1184-5
ISSN
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e-ISSN
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Number of pages
4
Pages from-to
1851-1854
Publisher name
American Institute of Physics
Place of publication
Melville, New York
Event location
Rhodes, Greece
Event date
Sep 21, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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