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Panel Data Econometrics$
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Manuel Arellano

Print publication date: 2003

Print ISBN-13: 9780199245284

Published to Oxford Scholarship Online: July 2005

DOI: 10.1093/0199245282.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 24 September 2021

Covariance Structures for Dynamic Error Components

Covariance Structures for Dynamic Error Components

Chapter:
(p.57) 5 Covariance Structures for Dynamic Error Components
Source:
Panel Data Econometrics
Author(s):

Manuel Arellano

Publisher:
Oxford University Press
DOI:10.1093/0199245282.003.0005

This chapter analyses the time series properties of panel data sets, focusing on short panels. It discusses time effects and moving average covariances. It presents estimates of covariance structures and tests the permanent income hypothesis.

Keywords:   dynamic error components, panel data sets, time series models, covariance, permanent income hypothesis

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