A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data

DOI10.1080/07350015.2022.2077349MaRDI QIDQ6190697zbMATH OpenFDO

Authors Guowei Cui, Kazuhiko Hayakawa, Shuichi Nagata, Takashi Yamagata

Publication date 6 March 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2022.2077349

zbMATH Keywords

correlated random coefficientsinteractive effectspanel dataslope heterogeneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(2)

• An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
• Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure

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