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Heteroskedasticity in one-way error component probit models
Moussa, Richard Kouamé - In: Econometrics : open access journal 7 (2019) 3/35, pp. 1-22
This paper introduces an estimation procedure for a random effects probit model in presence of heteroskedasticity and a … likelihood ratio test for homoskedasticity. The cases where the heteroskedasticity is due to individual effects or idiosyncratic … heteroskedasticity. Furthermore, the power of the test increases with larger individual and time dimensions. The robustness analysis …
Persistent link: https://www.econbiz.de/10012160867
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2011
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 … homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …
Persistent link: https://www.econbiz.de/10010282870
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2010
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 … homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. -- Instrumental …
Persistent link: https://www.econbiz.de/10008668817
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2011 - Rev.
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 … homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. -- Instrumental …
Persistent link: https://www.econbiz.de/10009130702
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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - 2001
In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen,...
Persistent link: https://www.econbiz.de/10010293028
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A finite sample correction for the variance of linear two-step GMM estimators
Windmeijer, Frank - 2000
Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...
Persistent link: https://www.econbiz.de/10010330335
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Specification and estimation of random effects models with serial correlation of general form
Skoglund, Jimmy; Karlsson, Sune - 2001
This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...
Persistent link: https://www.econbiz.de/10010281265
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Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation
Skoglund, Jimmy; Karlsson, Sune - 2001
This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...
Persistent link: https://www.econbiz.de/10010281303
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A generalized spatial panel data model with random effects
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2012
This paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our...
Persistent link: https://www.econbiz.de/10010288235
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An intersection test for panel unit roots
Hanck, Christoph - 2008
This paper proposes a new panel unit root test based on Simes' [Biometrika 1986, An Improved Bonferroni Procedure for Multiple Tests of Significanceʺ] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only...
Persistent link: https://www.econbiz.de/10003835930