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Improved Estimation Procedures for Nonlinear Panel Data Models

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  • Lieberman, O.
  • Matyas, L.

Abstract

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Suggested Citation

  • Lieberman, O. & Matyas, L., 1994. "Improved Estimation Procedures for Nonlinear Panel Data Models," Monash Econometrics and Business Statistics Working Papers 15/94, Monash University, Department of Econometrics and Business Statistics.
  • Handle: RePEc:msh:ebswps:1994-15
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    References listed on IDEAS

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    1. Evans, Merran, 1992. "Robustness of size of tests of autocorrelation and heteroscedasticity to nonnormality," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 7-24.
    2. Oberhofer, W & Kmenta, J, 1974. "A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models," Econometrica, Econometric Society, vol. 42(3), pages 579-590, May.
    3. Yuzo Honda, 1985. "Testing the Error Components Model with Non-Normal Disturbances," Review of Economic Studies, Oxford University Press, vol. 52(4), pages 681-690.
    4. Baltagi, Badi H. & Levin, Dan, 1992. "Cigarette taxation: Raising revenues and reducing consumption," Structural Change and Economic Dynamics, Elsevier, vol. 3(2), pages 321-335, December.
    5. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 239-253.
    6. Moulton, Brent R & Randolph, William C, 1989. "Alternative Tests of the Error Components Model," Econometrica, Econometric Society, vol. 57(3), pages 685-693, May.
    7. Baltagi, Badi H. & Chang, Young-Jae & Li, Qi, 1992. "Monte Carlo results on several new and existing tests for the error component model," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 95-120.
    8. Breusch, Trevor S., 1987. "Maximum likelihood estimation of random effects models," Journal of Econometrics, Elsevier, vol. 36(3), pages 383-389, November.
    9. Blanchard, Pierre & Matyas, Laszlo, 1996. "Robustness of tests for error components models to non-normality," Economics Letters, Elsevier, pages 161-167.
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    Keywords

    Panel data; Nonlinear models;

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