Exact Inference for the Linear Model with Groupwise Heteroscedasticity
Exact inference on a single coefficient in a linear regression model, as introduced by Bekker (1997), is elaborated for the case of normally distributed heteroscedastic disturbances. Instead of approximate inference based on feasible generalized least squares, exact confidence sets are formulated based on partial rotational invariance of the distribution of the vector of disturbances. The approach is applied to the random-effects and fixed-effects models for panel data.
|Date of creation:||01 Aug 2000|
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- Park, B. U. & Simar, L., "undated".
"Efficient semiparametric estimation in a stochastic frontier model,"
CORE Discussion Papers RP
1113, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- PARK, Byeong & SIMAR, Léopold, 1992. "Efficient semiparametric estimation in stochastic frontier model," CORE Discussion Papers 1992013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Park, B.U. & Simar, L., 1992. "Efficient Semiparametric Estimation in Stochastic Frontier Model," Papers 9201, Catholique de Louvain - Institut de statistique.
- Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
- Taylor, William E, 1977. "Small Sample Properties of a Class of Two Stage Aitken Estimators," Econometrica, Econometric Society, vol. 45(2), pages 497-508, March.
- Boozer, Michael A., 1997. "Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995," Econometric Theory, Cambridge University Press, vol. 13(05), pages 747-754, October. Full references (including those not matched with items on IDEAS)
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