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Panel smooth transition regression models
González, Andrés (contributor);  … - 2005
We develop a non-dynamic panel smooth transition regression model with fixed individual effects. The model is useful for describing heterogenous panels, with regression coefficients that vary across individuals and over time. Heterogeneity is allowed for by assuming that these coefficients are...
Persistent link: https://www.econbiz.de/10003073836
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Phantom Results from Panel Regressions
Wolfson, Paul J. - 2012
This paper examines current practice with respect to serial correlation in studies that rely on regression analysis of panel datasets. It first examines how frequently various techniques for dealing with serial correlation are used. Next, it runs a horse race using Monte Carlo simulation to...
Persistent link: https://www.econbiz.de/10013114752
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On the Estimation and Inference of a Cointegrated Regression in Panel Data
Kao, Chihwa; Chiang, Min-Hsien - 1997
In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic...
Persistent link: https://www.econbiz.de/10014149909
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Tests of no cross-sectional error dependence in panel quantile regressions
Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023
This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...
Persistent link: https://www.econbiz.de/10014366629
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Regression Discontinuity and Heteroskedasticity Robust Standard Errors : Evidence from a Fixed-Bandwidth Approximation
Bartalotti, Otávio - 2018
heteroskedasticity-robust standard errors. This paper develops the "fixed-bandwidth" alternative asymptotic theory for RD designs, which … there is local heteroskedasticity. Feasible estimators of fixed-bandwidth standard errors are easy to implement and are akin … to treating RD estimators as locally parametric, validating the common empirical practice of using heteroskedasticity …
Persistent link: https://www.econbiz.de/10012917093
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Regression discontinuity and heteroskedasticity robust standard errors : evidence from a fixed-bandwidth approximation
Bartalotti, Otávio - 2018
heteroskedasticity-robust standard errors. This paper develops the "fixed-bandwidth" alternative asymptotic theory for RD designs, which … there is local heteroskedasticity. Feasible estimators of fixed-bandwidth standard errors are easy to implement and are akin … to treating RD estimators as locally parametric, validating the common empirical practice of using heteroskedasticity …
Persistent link: https://www.econbiz.de/10011869057
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Testing When a Parameter is on the Boundary of the Maintained Hypothesis
Andrews, Donald W. K. - 2000
This paper considers testing problems where several of the standard regularity conditions fail to hold. We consider the case where (i) parameter vectors in the null hypothesis may lie on the boundary of the maintained hypothesis and (ii) there may be a nuisance parameter that appears under the...
Persistent link: https://www.econbiz.de/10014164278
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A robust permutation test for subvector inference in linear regressions
D'Haultfœuille, Xavier; Tuvaandorj, Purevdorj - In: Quantitative economics : QE ; journal of the … 15 (2024) 1, pp. 27-87
We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test is asymptotically of correct level, consistent, and has power against local alternatives when the...
Persistent link: https://www.econbiz.de/10014496927
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Heteroskedasticity-robust standard errors for fixed effects panel data regression
Stock, James H.; Watson, Mark W. - 2006
Persistent link: https://www.econbiz.de/10003340022
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On the specification of mincerian wage regressions with heterogeneity, non-linearity, non-separability, and heteroskedasticity
Belzil, Christian (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001982769