Instrumental variable estimation of heteroskedasticity adaptive error component models

DOI10.1007/s00362-011-0366-5zbMath1416.62663OpenAlexW2045393055MaRDI QIDQ1926091

Eduardo Fé

Publication date: 27 December 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-011-0366-5

zbMATH Keywords

local polynomial regressionpanel dataheteroskedasticityHausman-Taylor

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (1)

Selection and integration of generalized instrumental variables for estimating total effects

Uses Software

• KernSmooth
• Ox

Cites Work

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• Unbalanced panel data: a survey
• Redundancy of moment conditions
• Efficient estimation of panel data models with strictly exogenous explanatory variables
• Instrumental-Variable Estimation of an Error-Components Model
• Efficient Estimation Using Panel Data
• Panel Data and Unobservable Individual Effects
• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form
• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE

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