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The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...
Persistent link: https://www.econbiz.de/10012160687
, observational data computations, and Monte Carlo simulations to assess the use of various estimation methodologies, including … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity … across individual station level observations. Difference GMM and Within Group (WG) estimation have little bias and WG …
Persistent link: https://www.econbiz.de/10012265695