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Exact Inference for the Linear Model with Groupwise Heteroscedasticity

  • Paul A. Bekker

    (University of Groningen)

  • E. C. Leertouwer

    (University of Groningen)

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    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.

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    Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1760.

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    Date of creation: 01 Aug 2000
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    Handle: RePEc:ecm:wc2000:1760
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    1. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
    2. Park, B.U. & Simar, L., 1992. "Efficient Semiparametric Estimation in Stochastic Frontier Model," Papers 9201, Catholique de Louvain - Institut de statistique.
    3. TAYLOR, William E., . "Small sample properties of a class of two stage Aitken estimators," CORE Discussion Papers RP -287, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. 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.
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