Abstract
We consider the pooled cross-sectional and time series regression model when the disturbances follow a serially correlated one-way error components. In this context we discovered that the first difference estimator for the regression coefficients is equivalent to the generalized least squares estimator irrespective of the particular form of the regressor matrix when the disturbances are generated by a first order autoregressive process where the autocorrelation is close to unity.
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Song, S.H., Stemann, D. Relative efficiency of first difference estimator in panel data regression with serially correlated error components. Statistical Papers 40, 185–198 (1999). https://doi.org/10.1007/BF02925517
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DOI: https://doi.org/10.1007/BF02925517