Sensitivity of GLS estimators in random effects models

DOI10.1016/J.JMVA.2009.12.019zbMath1191.62103OpenAlexW3122163655MaRDI QIDQ962219

Andrey L. Vasnev

Publication date: 6 April 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.12.019

zbMATH Keywords

sensitivity analysispanel datageneralized least squaresrandom effects model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05) Analysis of variance and covariance (ANOVA) (62J10)

Cites Work

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• Small sample considerations in estimation from panel data
• Pooling. An experimental study of alternative testing and estimation procedures in a two-way error component model
• The sensitivity of OLS when the variance matrix is (partially) unknown
• Perturbation approach to sensitivity analysis in mathematical programming
• Local sensitivity and diagnostic tests
• Specification Tests in Econometrics
• Useful matrix transformations for panel data analysis: a survey
• Notation in econometrics: a proposal for a standard

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