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Asymptotics and Bootstrap for Transformed Panel Data Regressions

  • Liangjun Su

    (SMU)

  • Zhenlin Yang

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.

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File URL: http://www.eaber.org/node/22477
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Paper provided by East Asian Bureau of Economic Research in its series Development Economics Working Papers with number 22477.

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Date of creation: Jan 2008
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Handle: RePEc:eab:develo:22477
Contact details of provider: Postal: JG Crawford Building #13, Asia Pacific School of Economics and Government, Australian National University, ACT 0200
Web page: http://www.eaber.org

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  1. Andrews, Donald W.K., 1992. "Generic Uniform Convergence," Econometric Theory, Cambridge University Press, vol. 8(02), pages 241-257, June.
  2. Yang, Zhenlin & Tsui, Albert K., 2004. "Analytically calibrated Box-Cox percentile limits for duration and event-time models," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 649-677, December.
  3. repec:cup:cbooks:9780521828284 is not listed on IDEAS
  4. H. Kelejian, Harry & Prucha, Ingmar R., 2001. "On the asymptotic distribution of the Moran I test statistic with applications," Journal of Econometrics, Elsevier, vol. 104(2), pages 219-257, September.
  5. Baltagi, Badi H. & Li, Qi, 1992. "A monotonic property for iterative GLS in the two-way random effects model," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 45-51.
  6. 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 1465-71, November.
  7. Abrevaya, Jason, 1999. "Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 93(2), pages 203-228, December.
  8. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037, March.
  9. 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.
  10. repec:cup:cbooks:9780521535380 is not listed on IDEAS
  11. Potscher, Benedikt M & Prucha, Ingmar R, 1989. "A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes," Econometrica, Econometric Society, vol. 57(3), pages 675-83, May.
  12. Baltagi, Badi H., 1997. "Testing linear and loglinear error components regressions against Box-Cox alternatives," Statistics & Probability Letters, Elsevier, vol. 33(1), pages 63-68, April.
  13. Yang, Zhenlin, 2006. "A modified family of power transformations," Economics Letters, Elsevier, vol. 92(1), pages 14-19, July.
  14. Konstantinos Giannakas & Kien C. Tran & Vangelis Tzouvelekas, 2003. "On the choice of functional form in stochastic frontier modeling," Empirical Economics, Springer, vol. 28(1), pages 75-100, January.
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