NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Error Components Regression Models and Their Applications

Swarnjit S. Arora

NBER Working Paper No. 3
Issued in June 1973

In this paper, we have developed an operational method for estimating error components regression models when the variance- covariance matrix of the disturbance terms is unkown. Monte Carlo Studies were conducted to compare the relative efficiency of the pooled estimator obtained by this procedure to (a) an ordinary least sources estimator based on data aggregated over time, (b) the covariance estimator, and (d) a generalized least squares estimator based on a known variance-covariance matrix. For T small and large p, this estimator definitely performs better than the other estimators which are also based on an estimated value of the variance-covariance matrix of the disturbances. For p small and large T it compares equally well with other estimators.

download in pdf format
   (229 K)

email paper

This paper is available as PDF (229 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w0003

Published:

Users who downloaded this paper also downloaded these:
Arora Error Components Regression Models and Their Applications
Welch w0001 Education, Information, and Efficiency
Chiswick w0002 Hospital Utilization: An Analysis of SMSA Differences in Hospital Admission Rates, Occupancy Rates and Bed Rates
Lillard w0004 Human Capital Life Cycle of Earnings Models: A Specific Solution and Estimation
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us