AR(1) process. (a) For the one-way error component model with remainder disturbances (u_{i t}) following a stationary

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AR(1) process.

(a) For the one-way error component model with remainder disturbances $u_{i t}$ following a stationary $\mathrm{AR}(1)$ process as in (5.8), verify that $\Omega^{*}=E\left(u^{*} u^{* \prime}ight)$ is that given by (5.11).

(b) Using the Wansbeek and Kapteyn (1982) trick, show that $\Omega^{*}$ can be written as in (5.12).

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Econometric Analysis Of Panel Data

ISBN: 9783030539528

6th Edition

Authors: Badi H Baltagi

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Question Posted: Mar 02, 2024 11:01 PM

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AR(1) process. (a) For the one-way error component model with remainder disturbances (u_{i t}) following a stationary

Question:

Vit = pi,t-1 + Eit (5.8)

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Econometric Analysis Of Panel Data

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