IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE

DOI10.1081/ETC-120014348zbMath1034.62059MaRDI QIDQ4443971

Nilanjana Roy

Publication date: 22 March 2004

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

kernel estimationerror component modelheteroskedasticity

Mathematics Subject Classification ID

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

Related Items (16)

Testing for heteroskedasticity and spatial correlation in a two way random effects model ⋮ High dimensional cross-sectional dependence test under arbitrary serial correlation ⋮ Joint LM test for homoskedasticity in a one-way error component model ⋮ Bayesian estimation of a random effects heteroscedastic probit model ⋮ Testing for heteroskedasticity and serial correlation in a random effects panel data model ⋮ Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points ⋮ A Joint Score Test for Heteroscedasticity in the Two Way Error Components Model ⋮ Instrumental variable estimation of heteroskedasticity adaptive error component models ⋮ A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model ⋮ Testing for heteroskedasticity and spatial correlation in a random effects panel data model ⋮ ADAPTIVE ESTIMATION OF HETEROSKEDASTIC ERROR COMPONENT MODELS ⋮ Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence ⋮ Efficient estimation of distributed lag model in presence of heteroscedasticity of unknown form: A Monte Carlo evidence ⋮ Testing for heteroskedasticity in fixed effects models ⋮ Robust tests for heteroskedasticity in the one-way error components model ⋮ Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors

Uses Software

• KernSmooth

Cites Work

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• A transformation for heteroscedastic error components regression models
• Adapting for heteroscedasticity in linear models
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Specification Tests in Econometrics
• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form
• Bootstrap tests: how many bootstraps?

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