Testing inference in heteroskedastic fixed effects models

DOI10.1016/J.EJOR.2014.01.032MaRDI QIDQ2256332zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1735137 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Approximate inference in heteroskedastic regressions: a numerical evaluation
• Asymptotic inference under heteroskedasticity of unknown form
• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• Computing the distribution of quadratic forms in normal variables
• Econometric analysis of cross section and panel data.
• Econometrics
• Estimating Heteroscedastic Variances in Linear Models
• Evaluating Contextual Variables Affecting Productivity Using Data Envelopment Analysis
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators
• Robust estimators for the fixed effects panel data model
• Using least squares and Tobit in second stage DEA efficiency analyses

Cited in

(17)

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

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