Login New user?  
03- Journal of Statistics Applications & Probability
An International Journal


Volumes > Vol. 7 > No. 3


Different Estimators for Stochastic Parameter Panel Data Models with Serially Correlated Errors

PP: 423-434
Mohamed Reda Abonazel,
This paper considers stochastic parameter panel data models when the errors are first-order serially correlated. The feasible generalized least squares (FGLS) and simple mean group (SMG) estimators for these models have been reviewed and examined. The efficiency comparisons for these estimators have been carried when the regression parameters are stochastic, non-stochastic, and mixedstochastic. Monte Carlo simulation study and a real data application are given to evaluate the performance of FGLS and SMG estimators. The results indicate that, in small samples, SMG estimator is more reliable in most situations than FGLS estimators, especially when the model includes one or more non-stochastic parameter.

  Home   About us   News   Journals   Conferences Contact us Copyright naturalspublishing.com. All Rights Reserved