Chapter

Covariance Structures for Dynamic Error Components

Manuel Arellano

in Panel Data Econometrics

Published in print June 2003 | ISBN: 9780199245284
Published online July 2005 | e-ISBN: 9780191602481 | DOI: http://dx.doi.org/10.1093/0199245282.003.0005

Series: Advanced Texts in Econometrics

 							Covariance Structures for Dynamic Error Components

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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

Chapter.  11112 words. 

Subjects: Econometrics and Mathematical Economics

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