Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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The Effect of First Observation in Panel Regression Model with Serially Correlated Error Components

  • Published : 1999.12.01
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Abstract

We investigate the effects of omission of initial observations in each individuals in the panel data regression model when the disturbances follow a serially correlated one way error components. We show that the first transformed observation can have a relative large hat matrix diagonal component and a large influence on parameter estimates when the correlation coefficient is large in absolute value.

Keywords

References

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