Adaptive Estimation in The Panel Data Error Component Model With Heteroskedasticity of Unknown Form  

Oleh:

Stengos, Thanasis ; Qi, Li

Jenis: Article from Bulletin/Magazine
Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 35 no. 4 (1994), page 981-1000.
Topik: panel data; estimation; panel data; heteroskedasticity; unknown form

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We show that the adaptive estimation result for the heteroskedasticity of an unknown form time series (or cross section) model can be generalized to the panel data error components model. We give recursive transformations which change the error term of a random effects model and the first differenced error term of a fixed effects model into classical errors. We also propose a modified Breusch - Pagan test for testing the random individual effects. Monte Carlo evidence suggests that the proposed estimator performs adequately in small samples.

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