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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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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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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/10012322602
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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. …
Persistent link: https://www.econbiz.de/10010277529
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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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On the Robustness of Robustness Checks of the Environmental Kuznets Curve
Galeotti, Marzio; Manera, Matteo; Lanza, Alessandro - 2006
Since its first inception in the debate on the relationship between environment and growth in 1992, the Environmental Kuznets Curve has been subject to continuous and intense scrutiny. The literature can be roughly divided in two historical phases. Initially, after the seminal contributions,...
Persistent link: https://www.econbiz.de/10010312579
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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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For Which Countries did PPP hold? A Multiple Testing Approach
Hanck, Christoph - 2006
We use recent advances in multiple testing to identify the countries for which Purchasing Power Parity (PPP) held over the last century. The approach controls the multiplicity problem inherent in simultaneously testing for PPP on several time series, thereby avoiding spurious rejections. It has...
Persistent link: https://www.econbiz.de/10010296762
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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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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/10010333385