Instrumental variable estimation of heteroskedasticity adaptive error component models

DOI10.1007/S00362-011-0366-5MaRDI QIDQ1926091zbMATH OpenOpenAlexFDO

Authors Eduardo Fé

Publication date 27 December 2012

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-011-0366-5

zbMATH Keywords

heteroskedasticitypanel datalocal polynomial regressionHausman-Taylor

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Recommendations

• Instrumental-Variable Estimation of an Error-Components Model
• ADAPTIVE ESTIMATION OF HETEROSKEDASTIC ERROR COMPONENT MODELS
• Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
• Instrumental variable estimation with heteroskedasticity and many instruments
• Another look at the instrumental variable estimation of error-components models
• Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models
• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form

Cites work

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form
• Efficient Estimation Using Panel Data
• Efficient estimation of panel data models with strictly exogenous explanatory variables
• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
• Instrumental-Variable Estimation of an Error-Components Model
• Nonparametric econometrics. Theory and practice.
• Panel Data and Unobservable Individual Effects
• Redundancy of moment conditions
• Unbalanced panel data: a survey

Cited in

(7)

• 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
• Using panel data to examine racial and gender differences in debt burdens
• Instrumental-Variable Estimation of an Error-Components Model
• Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
• Selection and integration of generalized instrumental variables for estimating total effects
• Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors

Describes a project that uses

Uses Software

• Ox
• KernSmooth

This page was built for publication: Instrumental variable estimation of heteroskedasticity adaptive error component models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1926091)