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 …

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …. Repeated sampling experiments on dynamic probit models with serially correlated errors indicate that the estimator has good … important determinants of participation, while race is much less important. -- Initial conditions ; missing data ; simulation …

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 …

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 …

that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel … together with heteroskedasticity and serial correlation. Unfortunately, the associated, asymptotic standard error estimates are …-section data 1995) developed an approach that uses the Prais-Winsten estimator together with "panel corrected standard errors …

has been a workhorse for the analysis of panel data and seemingly unrelated regression equation systems because it allows … the incorporation of cross-sectional correlation together with heteroskedasticity and serial correlation. Unfortunately … Katz (1995) developed an approach that uses the Prais-Winsten estimator together with “panel corrected standard errors …

In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …

three representative models: spatial cross-sectional, static or dynamic panel models. Monte Carlo results show that the …

conditions (with or without a unit root), and error characteristics (homoskedasticity or heteroskedasticity of different forms …