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Cited by 2,281

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

Estimation of Dynamic Models with Error Components

Open access
Anderson, T. W., Hsiao, Cheng·1981·Journal of the American Statistical Association
DOI 10.1080/01621459.1981.10477691
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Abstract

Observations on N cross-section units at T time points are used to estimate a simple statistical model involving an autoregressive process with an additive term specific to the unit. Different assumptions about the initial conditions are (a) initial state fixed, (b) initial state random, (c) the unobserved individual effect independent of the unobserved dynamic process with the initial value fixed, and (d) the unobserved individual effect independent of the unobserved dynamic process with initial value random. Asymptotic properties of the maximum likelihood and “covariance” estimators are obtained when T → ∞ and when N → ∞. The relationship between the pseudo and conditional maximum likelihood estimators is clarified. A simple consistent estimator that is independent of the initial conditions and the way in which T or N → ∞ is also suggested.

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Metadata

Authors
Anderson, T. W., & Hsiao, C.
Venue
Journal of the American Statistical Association
Publisher
Informa UK Limited
Published
1981-09
Volume
76
Issue
375
Pages
598-606
ISSN
  • 0162-1459 (ISSN-L)
  • 1537-274X
DOI
10.1080/01621459.1981.10477691
OpenAlex
W2164359947
Cited by
2,281
References
1
FWCI
19.76
Type
journal article
Language
en
Open access
bronze

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