Misspecified heterogeneity in panel data models

DOI10.1007/BF02925369MaRDI QIDQ1381178zbMATH OpenFDO

Authors Pierre Blanchard, László Mátyás

Publication date 17 March 1998

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL http://ageconsearch.umn.edu/record/267763

zbMATH Keywords

demand modellinear panel data modelsmisspecified heterogeneitytables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

• On a Simple Test for Neglected Heterogeneity in Panel Studies
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• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form

Cites work

• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• Alternative Tests of the Error Components Model
• Asymptotic consequences of neglected dynamics in individual effects models*
• Efficient Inference in a Random Coefficient Regression Model
• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
• scientific article; zbMATH DE number 3366404 (Why is no real title available?)
• Investment Demand: An Empirical Contribution to the Aggregation Problem
• Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
• Maximum likelihood estimation of random effects models
• Monte Carlo results on several new and existing tests for the error component model
• Testing the Error Components Model with Non-Normal Disturbances
• The econometrics of panel data. Handbook of theory and applications.
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

Cited in

(6)

• Empirical best linear unbiased prediction in misspecified and improved panel data models with an application to gasoline demand
• Misspecified skedastic functions in grouped-data models
• Testing slope homogeneity in panel data models with a multifactor error structure
• On a Simple Test for Neglected Heterogeneity in Panel Studies
• Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors
• Grouped effects estimators in fixed effects models

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Uses Software

• LIMDEP

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