02118cam a22002417 4500001000600000003000500006005001700011008004100028100001700069245009400086260006600180490005100246500001900297520110500316530006101421538007201482538003601554690008501590710004201675830008601717856003701803856003601840t0032NBER20191020171648.0191020s1984 mau||||fs|||| 000 0 eng d1 aSolon, Gary.10aEstimating Autocorrelations in Fixed-Effects Modelsh[electronic resource] /cGary Solon. aCambridge, Mass.bNational Bureau of Economic Researchc1984.1 aNBER technical working paper seriesvno. t0032 aFebruary 1984.3 aThis 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. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aC - Mathematical and Quantitative Methods2Journal of Economic Literature class.2 aNational Bureau of Economic Research. 0aTechnical Working Paper Series (National Bureau of Economic Research)vno. t0032.4 uhttp://www.nber.org/papers/t003241uhttp://dx.doi.org/10.3386/t0032