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Estimation of Dynamic Models with Error Components

Anderson, Theodore Wilbur and Hsiao, Cheng (1980) Estimation of Dynamic Models with Error Components. Social Science Working Paper, 336. California Institute of Technology , Pasadena, CA. (Unpublished)

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Observations on N cross-section units at T time points are used to estimate a simple statistical model involving an autoregressive process with an additive term specific to the unit. Different assumptions about the initial conditions are (a) initial state fixed, (b) initial state random, (c) the unobserved individual effect independent of the unobserved dynamic process with the initial value fixed, and (d) the unobserved individual effect independent of the unobserved dynamic process with initial value random. Asymptotic properties of the maximum likelihood and "covariance" estimators are obtained when T → ∞ and when N → ∞. The relationship between the pseudo and conditional maximum likelihood estimators is clarified. A simple consistent estimator that is independent of the initial conditions and the way in which T or N → ∞ is also suggested.

Item Type:Report or Paper (Working Paper)
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Additional Information:This work was supported by National Science Foundation Grants SES79-13976 and SES80-07576 at the Institute for Mathematical Studies in the Social Sciences, Stanford University and Social Sciences and Humanities Research Council of Canada Grant 410-80-0080 at the Institute for Policy Analysis, University of Toronto. This technical report was completed while the first author was a Sherman Fairchild Distinguished Scholar at the California Institute of Technology. The authors are indebted to James Powell for assistance in preparing this paper. Published as Anderson, Theodore Wilbur, and Cheng Hsiao. "Estimation of dynamic models with error components." Journal of the American statistical Association 76.375 (1981): 598-606.
Group:Social Science Working Papers
Funding AgencyGrant Number
Social Sciences and Humanities Research Council (Canada)410-80-0080
Subject Keywords:Maximum likelihood estimation, Estimators, Consistent estimators, Statistical estimation, Infinity, Dynamic modeling, Economic models, Statistical models, Time series, Endowments
Series Name:Social Science Working Paper
Issue or Number:336
Record Number:CaltechAUTHORS:20171009-164034432
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:82241
Deposited By: Jacquelyn Bussone
Deposited On:10 Oct 2017 16:33
Last Modified:03 Oct 2019 18:52

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