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Arellano, Manuel
Professor of Econometrics, CEMFI, Madrid
Print publication date: 2003 (this edition)
Published to Oxford Scholarship Online: July 2005 Print ISBN-13: 978-0-19-924528-4 doi:10.1093/0199245282.003.0005 |
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This chapter analyses the time series properties of panel data sets, focusing on short panels. It discusses time effects and moving average covariances. It presents estimates of covariance structures and tests the permanent income hypothesis.
Keywords: dynamic error components, panel data sets, time series models, covariance, permanent income hypothesis,
doi:10.1093/0199245282.003.0005
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5 Covariance Structures for Dynamic Error Components
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