 Estimating Autocorrelations in Fixed-Effects ModelsNo 32, NBER Technical Working Papers from National Bureau of Economic Research, Inc Abstract: This paper discusses the estimation of serial correlation in fixed effects models for longitudinal data. Like time series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly used for time series, which are consistent as the length of the time series goes to infinity, are not consistent for a short time series as the size of the cross-section goes to infinity. This form of inconsistency is of particular concern because a short time series of a large cross-section is the typical case in longitudinal data. This paper extends Nickell's method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first-order autocorrelations and to error processes other than first-order autoregressions. The paper also presents statistical tables that facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an alternative method due to MaCurdy. Finally, the paper uses Monte Carlo methods to explore the finite-sample properties of both methods. Date: 1984-02 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberte:0032 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC. |
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