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Social and Behavioral Sciences Commons

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Public Affairs, Public Policy and Public Administration

Center for Policy Research

2012

Instrumental Variables

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Full-Text Articles in Social and Behavioral Sciences

The Hausman-Taylor Panel Data Model With Serial Correlation, Badi Baltagi, Long Liu Mar 2012

The Hausman-Taylor Panel Data Model With Serial Correlation, Badi Baltagi, Long Liu

Center for Policy Research

This paper modifies the Hausman and Taylor (1981) panel data estimator to allow for serial correlation in the remainder disturbances. It demonstrates the gains in efficiency of this estimator versus the standard panel data estimators that ignore serial correlation using Monte Carlo experiments.