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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: 28 September 2021

Models with Both Strictly Exogenous and Lagged Dependent Variables

Models with Both Strictly Exogenous and Lagged Dependent Variables

Chapter:
(p.129) 7 Models with Both Strictly Exogenous and Lagged Dependent Variables
Source:
Panel Data Econometrics
Author(s):

Manuel Arellano

Publisher:
Oxford University Press
DOI:10.1093/0199245282.003.0007

Regression models with strictly exogenous regressors and individual effects are extended to include lags of the dependent variable as additional exploratory variables allowing for serial correlation of unknown form. The model is applied to the analysis of cigarette addiction. It discusses GMM estimation and maximum likelihood estimators.

Keywords:   regression models, cigarette addiction, dependent variables, exogenous regressors, individual effects

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