Useful matrix transformations for panel data analysis: a survey

DOI10.1007/BF02925550zbMath0794.62039MaRDI QIDQ4275289

Badi H. Baltagi

Publication date: 8 September 1994

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

surveymatrix transformationheteroscedasticityserial correlationspectral decompositionerror component modelautoregressive processesgeneralized least squaresweighted least squaresrandom effects modelseemingly unrelated regressionsunbalanced panelfixed effects modelunbalancednesslarge panel datainversion of large data matricesWLS transformation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (47)

Maximum likelihood estimation of limited and discrete dependent variable models with nested random effects ⋮ Testing the distribution of error components in panel data models ⋮ Joint LM test for homoskedasticity in a one-way error component model ⋮ Testing for serial correlation, spatial autocorrelation and random effects using panel data ⋮ Panel data models with spatially correlated error components ⋮ Estimating models of complex FDI: are there third-country effects? ⋮ Efficient estimation and inference in linear pseudo-panel data models ⋮ Testing for heteroskedasticity and serial correlation in a random effects panel data model ⋮ ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA ⋮ Fixed effects, random effects or Hausman-Taylor: a pretest estimator ⋮ A generalized design for bilateral trade flow models ⋮ A nonparametric random effects estimator ⋮ Functional form and spatial dependence in dynamic panels ⋮ Estimation of moments for linear panel data models with potential existence of time effects ⋮ A note on \(S^{2}\) in a spatially correlated error components regression model for panel data ⋮ Testing panel data regression models with spatial error correlation. ⋮ On the estimation and inference in factor-augmented panel regressions with correlated loadings ⋮ The Hausman-Taylor panel data model with serial correlation ⋮ Simultaneous equations with error components ⋮ Multivariate longitudinal modeling of insurance company expenses ⋮ ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS ⋮ Testing slope homogeneity in large panels with serial correlation ⋮ Long-tail longitudinal modeling of insurance company expenses ⋮ A moment-based test for individual effects in the error component model with incomplete panels ⋮ The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals ⋮ Testing for serial correlation in hierarchical linear models ⋮ Alternative ways of obtaining Hausman's test using artificial regressions ⋮ Estimation for the multi-way error components model with ill-conditioned panel data ⋮ Block empirical likelihood for partially linear panel data models with fixed effects ⋮ Cluster analysis of panel data sets using non-standard optimisation of information criteria ⋮ Pseudo-Gaussian and rank-based optimal tests for random individual effects in large \(n\) small \(T\) panels ⋮ A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model ⋮ Sensitivity of GLS estimators in random effects models ⋮ Empirical likelihood for semi-varying coefficient models for panel data with fixed effects ⋮ The impact of a Hausman pretest on the size of a hypothesis test: the panel data case ⋮ Demeaning the data in panel-cointegration models to control for cross-sectional dependencies ⋮ Specification tests in mixed effects models ⋮ The unbalanced nested error component regression model ⋮ Instrumental variable estimation of a spatial autoregressive panel model with random effects ⋮ Semi-parametric inference for semi-varying coefficient panel data model with individual effects ⋮ A note on the application of EC2SLS and EC3SLS estimators in panel data models ⋮ Price dynamics, retail chains and inflation measurement ⋮ Nonparametric identification of a binary random factor in cross section data ⋮ Testing the fixed effects restrictions? A Monte Carlo study of Chamberlain's minimum chi-squared test ⋮ Consistency and asymptotic unbiasedness of \(S^ 2\) in the serially correlated error components regression model for panel data ⋮ Relative efficiency of first difference estimator in panel data regression with serially correlated error components ⋮ Testing for individual and time effects in panel data models with interactive effects

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