double autocorrelation in two way error component models双自相关组件模型两种方式错误.pdfVIP

Open Journal of Statistics, 2011, 1, 185-198 185 doi:10.4236/ojs.2011.13022 Published Online October 2011 (http://www.SciRP.org/journal/ojs) Double Autocorrelation in Two Way Error Component Models 1 2 3 Jean Marcelin Bosson Brou , Eugene Kouassi , Kern O. Kymn 1 Department of Economics, University of Cocody, Abidjan , Cote-d’Ivoire 2Resource Economics, West Virginia University, Morgantown , USA 3Division of Finance and Economics , West Virginia University, Morgantown , USA E-mail : kern.kymn@ Received September 15, 2011; revised October 16, 2011; revised October 30, 2011 Abstract In this paper, we extend the works by [1-5] accounting for autocorrelation both in the time specific effect as well as the remainder error term. Several transformations are proposed to circumvent the double autocorrela- tion problem in some specific cases. Estimation procedures are then derived. Keywords: Two Way Random Effect Model, Double Autocorrelation, GLS, FGLS 1. Introduction properties of the GLS estimators are considered in Sec- tion 5. Section 6 provides a FGLS counterpart approach. Following the works of [6], the regression model with Finally, some concluding remarks appear in Section 7. error components or variance components has become a popular method for dealing with panel data. A summ