Poor identification and estimation problems in panel data models with random effects and autocorrelated errors
نویسندگان
چکیده
The paper shows that poor identifiability of parameters can arise in the context of linear panel data model with random effects and autocorrelated disturbances. This causes problems when estimating the model by (Gaussian) maximum likelihood. Corner solutions occur quite frequently for the variance of the random effects, with a consequent bimodal distribution of the other variance and of the autoregression parameter.
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