文章基本信息

标题：Some Monte Carlo results for a generalized error component model with heteroskedastic disturbances
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作者：Robert Phillips
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2003
卷号：3
出版社：Economics Bulletin
摘要：This note provides Monte Carlo evidence illustrating that feasible and true GLS estimators of the Baltagi and Griffin (1988) generalized error component model do not have the same sampling behavior. Indeed, while the true GLS estimator is consistent, a feasible GLS estimator need not be, an observation corroborated by the Monte Carlo results.