This paper proposes an extension of the standard one-way error components model allowing for heteroscedasticity in both the individual-specific and the general error terms, as well as for unbalanced panel. On the grounds of its robustness to distributional misspecification, its robustness to...

In this paper, we study the behaviour of second order pseudo-maximum likelihood estimators under conditional variance misspecification. We first determine sufficient and essentially necessary conditions for such an estimator to be, regardless of the conditional variance (mis)specification,...