Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence

DOI10.1080/25742558.2018.1463598zbMath1426.62207OpenAlexW2798241287MaRDI QIDQ5193253

Saima Altaf, Afshan Saeed, Muhammad Amanullah, Muhammad Aslam

Publication date: 10 September 2019

Published in: Cogent Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/25742558.2018.1463598

zbMATH Keywords

adaptive estimatorpanel data modelsize distortionpower of testleverage pointsHCCME

Mathematics Subject Classification ID

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

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
• A transformation for heteroscedastic error components regression models
• Testing inference in heteroskedastic fixed effects models
• Inference under Heteroscedasticity of Unknown Form Using an Adaptive Estimator
• Heteroskedasticity-consistent interval estimators
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• The Hat Matrix in Regression and ANOVA
• 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
• ADAPTIVE ESTIMATION OF HETEROSKEDASTIC ERROR COMPONENT MODELS
• Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points
• Inference Under Heteroskedasticity and Leveraged Data

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