Abstract
The paper considers the estimation of a fixed effects time series-cross section model where errors have both unspecified interpersonal and intertemporal covariance. Efficient estimators in the form of GLS are suggested, which can be implemented on the data in their actual form or in deviations from time-means. As an empirical example, the determinants of new residential construction activity in the New England states of the US during the 80's are investigated. Results show substantial sensitivity to changes in the interest rate and the unemployment rate, whilst responses to changes in income are more muted. Long term factors related to the region are also influential.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
