ADAPTIVE ESTIMATION OF HETEROSKEDASTIC ERROR COMPONENT MODELS

DOI10.1081/ETC-200049131MaRDI QIDQ4678783zbMATH OpenFDO

Authors Badi H. Baltagi, Georges Bresson, Alain Pirotte

Publication date 23 May 2005

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/ETC-200049131

zbMATH Keywords

adaptive estimationbandwidtherror componentsheteroskedasticitypanel data

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Recommendations

• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
• Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors
• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form
• Fitting Heteroscedastic Regression Models
• scientific article; zbMATH DE number 815733

Cites work

• A simple root \(n\) bandwidth selector
• Adapting for heteroscedasticity in linear models
• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Bandwidth selection for kernel density estimation
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
• On optimal data-based bandwidth selection in kernel density estimation
• Recent Developments in Nonparametric Density Estimation
• Root n bandwidths selectors in multivariate kernel density estimation
• The Estimation of the Variances in a Variance-Components Model
• The Use of Error Components Models in Combining Cross Section with Time Series Data

Cited in

(8)

• Instrumental variable estimation of heteroskedasticity adaptive error component models
• Testing for heteroskedasticity in fixed effects models
• Bayesian estimation of a random effects heteroscedastic probit model
• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form
• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
• scientific article; zbMATH DE number 815733 (Why is no real title available?)
• Improved inference for the panel data model with unknown unit-specific heteroscedasticity: a Monte Carlo evidence
• Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors

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