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Is Adaptive Estimation Useful For Panel Models With Heteroskedasticity In The Individual Specific Error Component? Some Monte Carlo Evidence

  • Nilanjana Roy

This paper first derives an adaptive estimator when heteroskedasticity is present in the individual specific error in an error component model and then compares the finite sample performance of the proposed estimator with various other estimators. While the Monte Carlo results show that the proposed estimator performs adequately in terms of relative efficiency, its performance on the basis of empirical size is quite similar to the other estimators considered.

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File URL: http://www.tandfonline.com/doi/abs/10.1081/ETC-120014348
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Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 21 (2002)
Issue (Month): 2 ()
Pages: 189-203

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Handle: RePEc:taf:emetrv:v:21:y:2002:i:2:p:189-203
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  1. Delgado, Miguel A., 1992. "Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model," Econometric Theory, Cambridge University Press, vol. 8(02), pages 203-222, June.
  2. Stengos, T. & Li, Q., 1993. "Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form," Working Papers 1993-4, University of Guelph, Department of Economics and Finance.
  3. Baltagi, Badi H & Griffin, James M, 1988. "A Generalized Error Component Model with Heteroscedastic Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(4), pages 745-53, November.
  4. repec:cup:etheor:v:8:y:1992:i:2:p:161-87 is not listed on IDEAS
  5. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Rilstone, Paul, 1991. "Some Monte Carlo Evidence on the Relative Efficiency of Parametric and Semiparametric EGLS Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(2), pages 179-87, April.
  7. Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics.
  8. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-91, July.
  9. repec:cup:cbooks:9780521818551 is not listed on IDEAS
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