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Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference...
Persistent link: https://www.econbiz.de/10012305035
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A Robust Approach to Heteroskedasticity, Error Serial Correlation and Slope Heterogeneity for Large Linear Panel Data Models with Interactive Effects
Cui, Guowei - 2019
In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope … used panel heteroskedasticity and autocorrelation consistent (HAC) variance estimator of the pooled estimator under random …
Persistent link: https://www.econbiz.de/10012898755
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Estimating linear dynamic panels with recentered moments
Bao, Yong - In: Econometrics : open access journal 12 (2024) 1, pp. 1-48
conditions (with or without a unit root), and error characteristics (homoskedasticity or heteroskedasticity of different forms …
Persistent link: https://www.econbiz.de/10014636394
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Consistent estimation of linear panel data models with measurement error
Meijer, Erik; Spierdijk, Laura; Wansbeek, Tom - 2015
) heteroskedasticity and nonlinearity in the relation between the error-ridden covariate and another, error-free, covariate in the equation …
Persistent link: https://www.econbiz.de/10010472669
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - In: Quantitative economics : QE ; journal of the … 3 (2012) 2, pp. 211-255
allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic …) under homoskedasticity, and has much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …
Persistent link: https://www.econbiz.de/10011756822
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High-Dimensional Panel Data with Time Heterogeneity : Estimation and Inference
Zhu, Yinchu - 2017
We consider high-dimensional panel data models (large cross sections and long time horizons) with interactive fixed effects and allow the covariate/slope coefficients to vary over time without any restrictions. The parameter of interest is the vector that contains all the covariate effects...
Persistent link: https://www.econbiz.de/10012970967
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Biases in GLS Estimators for Dynamic Panel Data Models Allowing Cross-Sectional Heteroscedasticity
Abdullah, Muhammad - 2017
The inclusion of lagged dependent variable in the list of explanatory variables introduces the specific estimation problems even the generalized least squares estimator for the dynamic panel data models allowing cross sectional heteroscedasticity becomes biased and inconsistent. In this study,...
Persistent link: https://www.econbiz.de/10012967315
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Estimation of Panel Data Models with Cross-Sectionally Heteroskedastic Data
Ahn, Seung C.; Zhang, Xiangyu - 2023
Panel data models with cross-sectionally heteroskedastic data often suffer from the well-known incidental parameters problem. Some recent studies have proposed that the structural parameters (common parameters to all of the cross-sectional entities) can be consistently estimated if they are...
Persistent link: https://www.econbiz.de/10014348689
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Random effects panel data models with known heteroskedasticity
Schäper, Julius; Winkelmann, Rainer - 2024 - Revised version, September 2024
The paper considers two estimators for the linear random effects panel data model with known heteroskedasticity …. Examples where heteroskedasticity can be treated as given include panel regression with averaged data, meta regression and the …
Persistent link: https://www.econbiz.de/10015062188
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Random effects panel data models with known heteroskedasticity
Schäper, Julius; Winkelmann, Rainer - 2024
The paper introduces two estimators for the linear random effects panel data model with known heteroskedasticity …. Examples where heteroskedasticity can be treated as given include panel regressions with averaged data, meta regressions and …
Persistent link: https://www.econbiz.de/10014551389