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Asymptotics and Bootstrap for Transformed Panel Data Regressions

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  • Liangjun Su

    (SMU)

  • Zhenlin Yang

Abstract

This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for transformed random effects models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoscedasticity, and simple model structure. We develop a quasi maximum likelihood-type procedure for model estimation and inference. We prove the consistency and asymptotic normality of the parameter estimates, and propose a simple bootstrap procedure that leads to a robust estimate of the variance-covariance matrix. Monte Carlo results reveal that these estimates perform well in finite samples, and that the gains by using bootstrap procedure for inference can be enormous.

Suggested Citation

  • Liangjun Su & Zhenlin Yang, 2008. "Asymptotics and Bootstrap for Transformed Panel Data Regressions," Development Economics Working Papers 22477, East Asian Bureau of Economic Research.
    • Handle: RePEc:eab:develo:22477
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    File URL: http://www.eaber.org/node/22477
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    References listed on IDEAS

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    1. Yang, Z.L. & Tse, Y.K., 2007. "A Corrected Plug-in Method for Quantile Interval Construction Through a Transformed Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 356-376, July.
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    8. Frees,Edward W., 2004. "Longitudinal and Panel Data," Cambridge Books, Cambridge University Press, number 9780521828284, May.
    9. Andrews, Donald W K, 1987. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers [On Unification of the Asymptotic Theory of Nonlinear Econometric Models]," Econometrica, Econometric Society, vol. 55(6), pages 1465-1471, November.
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    Cited by:

    1. Jin, Fei & Lee, Lung-fei, 2015. "On the bootstrap for Moran’s I test for spatial dependence," Journal of Econometrics, Elsevier, vol. 184(2), pages 295-314.

    More about this item

    Keywords

    Asymptotics; Bootstrap; Quasi-MLE; Transformed panels; Variance-covariance matrix estimate;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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