Estimation of heterogeneous panels with systematic slope variations

DOI10.1016/j.jeconom.2020.04.007zbMath1464.62496OpenAlexW3023503870MaRDI QIDQ2224984

Nazarii Salish, Jörg Breitung

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.007

zbMATH Keywords

random effectspanel dataslope heterogeneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Statistical inference in a random coefficient panel model
• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• Testing slope homogeneity in large panels
• Fixed effects instrumental variables estimation in correlated random coefficient panel data models
• Estimating long-run relationships from dynamic heterogeneous panels
• ANALYZING THE RANDOM COEFFICIENT MODEL NONPARAMETRICALLY
• Efficiency Bounds for Semiparametric Regression
• On the Pooling of Time Series and Cross Section Data
• Identifying Distributional Characteristics in Random Coefficients Panel Data Models
• A Test for Slope Heterogeneity in Fixed Effects Models
• Lagrange multiplier type tests for slope homogeneity in panel data models
• Efficient Inference in a Random Coefficient Regression Model
• Unnamed Item

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