Testing inference in heteroskedastic fixed effects models

DOI10.1016/J.EJOR.2014.01.032zbMATH Open1305.62326OpenAlexW2079651259MaRDI QIDQ2256332FDOQ2256332

Authors: Carlos F. A. Uchôa, Tatiane A. Menezes, Francisco Cribari-Neto 

Publication date: 19 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.01.032

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zbMATH Keywords

distributionheteroskedasticitylongitudinal datasimulationnumerical integrationquasi-\(t\) tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• Econometric analysis of cross section and panel data.
• Estimating Heteroscedastic Variances in Linear Models
• Title not available (Why is that?)
• Approximate inference in heteroskedastic regressions: A numerical evaluation
• Computing the distribution of quadratic forms in normal variables
• Asymptotic inference under heteroskedasticity of unknown form
• Robust estimators for the fixed effects panel data model
• Evaluating Contextual Variables Affecting Productivity Using Data Envelopment Analysis
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• Using least squares and Tobit in second stage DEA efficiency analyses
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• Econometrics
• Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators

Cited In (11)

• Effects on inference of pretesting the exogeneity of a regressor
• Dynamic firm performance and estimator choice: a comparison of dynamic panel data estimators
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• Test of random versus fixed effects with small within variation
• Testing the fixed effects restrictions? A Monte Carlo study of Chamberlain's minimum chi-squared test
• The asymptotic distribution of the F‐test statistic for individual effects
• On using durbin's h-test to validate the partial-adjustment model
• Exact inference for the linear model with groupwise heteroscedastic spherical disturbances.
• Testing identification via heteroskedasticity in structural vector autoregressive models
• Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence
• A Test for Slope Heterogeneity in Fixed Effects Models

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