ADAPTIVE ESTIMATION OF HETEROSKEDASTIC ERROR COMPONENT MODELS

DOI10.1081/ETC-200049131zbMath1157.62459MaRDI QIDQ4678783

Badi H. Baltagi, Alain Pirotte, Georges Bresson

Publication date: 23 May 2005

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

zbMATH Keywords

bandwidthpanel dataadaptive estimationheteroskedasticityerror components

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (4)

Bayesian estimation of a random effects heteroscedastic probit model ⋮ Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence ⋮ Testing for heteroskedasticity in fixed effects models ⋮ Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors

Cites Work

• Adapting for heteroscedasticity in linear models
• Bandwidth selection for kernel density estimation
• A simple root \(n\) bandwidth selector
• Root n bandwidths selectors in multivariate kernel density estimation
• On optimal data-based bandwidth selection in kernel density estimation
• Recent Developments in Nonparametric Density Estimation
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• 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
• The Use of Error Components Models in Combining Cross Section with Time Series Data
• The Estimation of the Variances in a Variance-Components Model
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