Chapter

Models with Both Strictly Exogenous and Lagged Dependent Variables

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/10.1093/0199245282.003.0007

Series: Advanced Texts in Econometrics

 							Models with Both Strictly Exogenous and Lagged Dependent Variables

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Regression models with strictly exogenous regressors and individual effects are extended to include lags of the dependent variable as additional exploratory variables allowing for serial correlation of unknown form. The model is applied to the analysis of cigarette addiction. It discusses GMM estimation and maximum likelihood estimators.

Keywords: regression models; cigarette addiction; dependent variables; exogenous regressors; individual effects

Chapter.  6712 words. 

Subjects: Econometrics and Mathematical Economics

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