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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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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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Heteroskedasticity in one-way error component probit models
Moussa, Richard Kouamé - In: Econometrics 7 (2019) 3, 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/10012696250
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Consistent Estimation of Linear Panel Data Models with Measurement Error
Meijer, Erik; Spierdijk, Laura; Wansbeek, Tom J. - 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/10010480837
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Joint LM Test for Homoskedasticity in a One-Way error Component Model
Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - Center for Policy Research, Maxwell School - 2005
homoskedasticity against the alternative of heteroskedasticity in both error components. It contrasts this joint LM test with marginal … LM tests that ignore the heteroskedasticity in one of the error components. Monte Carlo results show that misleading … inference can occur when using marginal rather than joint tests when heteroskedasticity is present in both components. …
Persistent link: https://www.econbiz.de/10005698342
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Consistent Estimation of Linear Panel Data Models with Measurement Error
Meijer, Erik; Spierdijk, Laura; Wansbeek, Tom J. - CESifo - 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/10011122680
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Panel data gravity models of international trade
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2014
One of the oldest and largest literatures in empirical economics is concerned with the estimation of demand and supply of goods, services, and factors across national or subnational borders (see Leamer and Levinsohn, 1995). The respective empirical models specified and estimated are often...
Persistent link: https://www.econbiz.de/10010237192
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A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects
Hayakawa, Kazuhiko; Nagata, Shuichi; Yamagata, Takashi - 2018
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/10011879510
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Latent Factor Analysis in Short Panels
Fortin, Alain-Philippe; Gagliardini, Patrick; Scaillet, … - 2023
We develop inferential tools for latent factor analysis in short panels. The pseudo maximum likelihood setting under a large cross-sectional dimension n and a fixed time series dimension T relies on a diagonal T x T covariance matrix of the errors without imposing sphericity or Gaussianity. We...
Persistent link: https://www.econbiz.de/10014350141
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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