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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
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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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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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
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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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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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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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Testing for unit roots in nonlinear dynamic heterogeneous panels
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource]
In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections....
Persistent link: https://www.econbiz.de/10002595402
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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