Sensitivity of GLS estimators in random effects models
This paper studies the sensitivity of random effects estimators in the one-way error component regression model. Maddala and Mount (1973)Â  give simulation evidence that in random effects models the properties of the feasible GLS estimator are not affected by the choice of the first-step estimator used for the covariance matrix. Taylor (1980)Â  gives a theoretical example of this effect. This paper provides a reason for this in terms of sensitivity. The properties of are transferred via an uncorrelated (and independent under normality) link, called sensitivity. The sensitivity statistic counteracts the improvement in . A Monte Carlo experiment illustrates the theoretical findings.
Volume (Year): 101 (2010)
Issue (Month): 5 (May)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Baltagi, Badi H., 1981. "Pooling : An experimental study of alternative testing and estimation procedures in a two-way error component model," Journal of Econometrics, Elsevier, vol. 17(1), pages 21-49, September.
- Taylor, William E., 1980. "Small sample considerations in estimation from panel data," Journal of Econometrics, Elsevier, vol. 13(2), pages 203-223, June.
- Magnus, J.R., 1986. "The exact moments of a ratio of quadratic forms in normal variables," Other publications TiSEM c6725407-ac3c-44fd-b6d1-5, Tilburg University, School of Economics and Management.
- Magnus, J.R. & Vasnev, A.L., 2004.
"Local Sensitivity and Diagnostic Tests,"
2004-105, Tilburg University, Center for Economic Research.
- Hausman, Jerry A, 1978.
"Specification Tests in Econometrics,"
Econometric Society, vol. 46(6), pages 1251-71, November.
- Banerjee, Anurag N. & Magnus, Jan R., 1999. "The sensitivity of OLS when the variance matrix is (partially) unknown," Journal of Econometrics, Elsevier, vol. 92(2), pages 295-323, October.
- Karim M. Abadir & Jan R. Magnus, 2002.
"Notation in econometrics: a proposal for a standard,"
Royal Economic Society, vol. 5(1), pages 76-90, June.
- Abadir, K.M. & Magnus, J.R., 2001. "Notation in Econometrics : A Proposal for a Standard," Discussion Paper 2001-8, Tilburg University, Center for Economic Research.
- Don, F.J.H. & Magnus, J.R., 1980. "On the unbiasedness of iterated GLS estimators," Other publications TiSEM 0651c9b8-01ec-451a-aced-2, Tilburg University, School of Economics and Management.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:101:y:2010:i:5:p:1252-1262. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.