A transformation for heteroscedastic error components regression models

DOI10.1016/0165-1765(88)90161-9MaRDI QIDQ900167zbMATH OpenOpenAlexWikidataFDO

Authors William C. Randolph

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(88)90161-9

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• A transformation that will circumvent the problem of autocorrelation in an error-component model
• Estimation of regression models with nested error structure and unequal error variances under two and three stage cluster sampling
• scientific article; zbMATH DE number 795292
• A regression model of the heteroscedastic error variance
• Generalized least squares transformation and estimation with autoregressive error

Cites work

• scientific article; zbMATH DE number 3994802 (Why is no real title available?)
• Approximate Normality of Generalized Least Squares Estimates
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Estimators for the One-Way Random Effects Model with Unequal Error Variances
• Random group effects and the precision of regression estimates
• Some Estimators for a Linear Model with Random Coefficients
• The Effect of Two-Stage Sampling on Ordinary Least Squares Methods
• Transformations for Estimation of Linear Models with Nested-Error Structure

Cited in

(9)

• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
• Improved inference for the panel data model with unknown unit-specific heteroscedasticity: a Monte Carlo evidence
• Joint LM test for homoskedasticity in a one-way error component model
• Untransformed first observation problem in regression model with moving average process
• scientific article; zbMATH DE number 1086078 (Why is no real title available?)
• A Joint Score Test for Heteroscedasticity in the Two Way Error Components Model
• On the use of the Helmert transformation, and its applications in panel data econometrics
• Useful matrix transformations for panel data analysis: a survey
• Bayesian estimation of a random effects heteroscedastic probit model

This page was built for publication: A transformation for heteroscedastic error components regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q900167)