IDEAS home Printed from https://ideas.repec.org/a/adr/anecst/y1993i30p121-141.html
   My bibliography  Save this article

A Bilinear Model for Heteroskedastic Panel Data

Author

Listed:
  • John G. Cragg

Abstract

A model is developed in which an unobserved variable, the same for all individuals but varying over time, interacts with observed variables and unknown coefficients for each individual. Different individual residual variances are allowed. Statistical inference, including estimation of the unobserved variable, presents some difficulties. Procedures to overcome these problems are suggested and analyzed for estimation of the parameters and testing some hypotheses. The procedures are applied to an illustrative example for the connection between the earnings and assets of corporations with results suggesting that the model may be appropriate and that rates of return are related to the size of assets of companies.

Suggested Citation

  • John G. Cragg, 1993. "A Bilinear Model for Heteroskedastic Panel Data," Annals of Economics and Statistics, GENES, issue 30, pages 121-141.
  • Handle: RePEc:adr:anecst:y:1993:i:30:p:121-141
    as

    Download full text from publisher

    File URL: http://www.jstor.org/stable/20075909
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:adr:anecst:y:1993:i:30:p:121-141. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Secretariat General or Laurent Linnemer (email available below). General contact details of provider: https://edirc.repec.org/data/ensaefr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.