Unbiased estimates of the variance components under the AR(1) model. Prove that (widehat{sigma}_{epsilon}^{2}) and (widehat{sigma}_{alpha}^{2}) given by

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Unbiased estimates of the variance components under the AR(1) model. Prove that $\widehat{\sigma}_{\epsilon}^{2}$ and $\widehat{\sigma}_{\alpha}^{2}$ given by (5.15) are unbiased for $\sigma_{\epsilon}^{2}$ and $\sigma_{\alpha}^{2}$, respectively.

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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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Unbiased estimates of the variance components under the AR(1) model. Prove that (widehat{sigma}_{epsilon}^{2}) and (widehat{sigma}_{alpha}^{2}) given by

Question:

=u*' (INE)u* /N(T 1) and = u*' (IN @ J)u* /N - (5.15)

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Econometric Analysis Of Panel Data

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=u' (INE)u /N(T 1) and = u' (IN @ J)u /N - (5.15)