Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form

DOI10.2307/2527006zbMath0807.62095OpenAlexW1984357497MaRDI QIDQ4320065

Q. Li, Thanasis Stengos

Publication date: 1 March 1995

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2527006

zbMATH Keywords

time serieswhite noiseadaptive estimationcross sectionrandom effects modelheteroskedasticityrecursive transformationsmodified Breusch-Pagan testpanel data error components modelsemiparametric time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

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