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