{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,4]],"date-time":"2026-05-04T10:34:29Z","timestamp":1777890869364,"version":"3.51.4"},"reference-count":25,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":5369,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1994,6]]},"abstract":"<jats:p>This paper provides a simple estimation method for an error component regression model with general MA(<jats:italic>q<\/jats:italic>) remainder disturbances. The estimation method utilizes the transformation derived by Baltagi and Li [3] for an error component model with autoregressive remainder disturbances, and a standard orthogonalizing algorithm for the general MA(<jats:italic>q<\/jats:italic>) model. This estimation method is computationally simple utilizing only least-squares regressions. This is important for panel data regressions where brute force GLS is in many cases not feasible.This estimation method performs well relative to true GLS in Monte-Carlo experiments.<\/jats:p>","DOI":"10.1017\/s026646660000846x","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:43:23Z","timestamp":1236699803000},"page":"396-408","source":"Crossref","is-referenced-by-count":17,"title":["Estimating Error Component Models With General MA(<i>q<\/i>) Disturbances"],"prefix":"10.1017","volume":"10","author":[{"given":"Badi H.","family":"Baltagi","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Qi","family":"Li","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S026646660000846X_ref022","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176344136"},{"key":"S026646660000846X_ref019","volume-title":"Time series modeling with a Bayesian frame of reference: concepts, illustrations and asymptotics","author":"Phillips","year":"1992"},{"key":"S026646660000846X_ref012","doi-asserted-by":"publisher","DOI":"10.2307\/1911432"},{"key":"S026646660000846X_ref011","volume-title":"Estimating a linear regression model with general MA(q) disturbances","author":"Li","year":"1992"},{"key":"S026646660000846X_ref010","volume-title":"Estimation of autocorrelated error components model with panel data","author":"Lee","year":"1979"},{"key":"S026646660000846X_ref008","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/69.1.81"},{"key":"S026646660000846X_ref006","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600010756"},{"key":"S026646660000846X_ref005","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(74)90030-X"},{"key":"S026646660000846X_ref004","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4419-0320-4"},{"key":"S026646660000846X_ref003","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(91)90070-T"},{"key":"S026646660000846X_ref002","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(80)90034-2"},{"key":"S026646660000846X_ref001","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/66.1.59"},{"key":"S026646660000846X_ref021","first-page":"137","article-title":"Error component models with serially correlated time effects","volume":"17","author":"Revankar","year":"1979","journal-title":"Journal of the Indian Statistical Association"},{"key":"S026646660000846X_ref018","doi-asserted-by":"publisher","DOI":"10.2307\/2296586"},{"key":"S026646660000846X_ref015","doi-asserted-by":"publisher","DOI":"10.2307\/2526829"},{"key":"S026646660000846X_ref014","doi-asserted-by":"publisher","DOI":"10.2307\/135116"},{"key":"S026646660000846X_ref007","unstructured":"7. Galbraith J.W. & Zinde-Walsh V. . Transforming the error-component model for estimation with general ARMA disturbances. Unpublished paper, McGill University, Montreal, Quebec, Canada, 1992b."},{"key":"S026646660000846X_ref024","doi-asserted-by":"publisher","DOI":"10.1080\/03610928208828373"},{"key":"S026646660000846X_ref013","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(82)90096-3"},{"key":"S026646660000846X_ref017","doi-asserted-by":"publisher","DOI":"10.2307\/2525888"},{"key":"S026646660000846X_ref020","volume-title":"Posterior odds testing for a unit root with data-based model selection","author":"Phillips","year":"1992"},{"key":"S026646660000846X_ref025","doi-asserted-by":"publisher","DOI":"10.1016\/0167-7152(83)90033-0"},{"key":"S026646660000846X_ref009","volume-title":"Analysis of Panel Data","author":"Hsiao","year":"1986"},{"key":"S026646660000846X_ref016","doi-asserted-by":"publisher","DOI":"10.2307\/1913350"},{"key":"S026646660000846X_ref023","first-page":"137","article-title":"Estimation of linear models with moving average disturbances","volume":"2","author":"Ullah","year":"1986","journal-title":"Journal of Quantitative Economics"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S026646660000846X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,15]],"date-time":"2019-05-15T03:53:21Z","timestamp":1557892401000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S026646660000846X\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1994,6]]},"references-count":25,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1994,6]]}},"alternative-id":["S026646660000846X"],"URL":"https:\/\/doi.org\/10.1017\/s026646660000846x","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1994,6]]}}}