Sensitivity of GLS estimators in random effects models

DOI10.1016/J.JMVA.2009.12.019MaRDI QIDQ962219zbMATH OpenOpenAlexFDO

Authors Andrey L. Vasnev

Publication date 6 April 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2009.12.019

zbMATH Keywords

panel datasensitivity analysisrandom effects modelgeneralized least squares

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10)

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Cites work

• scientific article; zbMATH DE number 3673386 (Why is no real title available?)
• scientific article; zbMATH DE number 2230055 (Why is no real title available?)
• Local sensitivity and diagnostic tests
• Notation in econometrics: a proposal for a standard
• Perturbation approach to sensitivity analysis in mathematical programming
• Pooling. An experimental study of alternative testing and estimation procedures in a two-way error component model
• Small sample considerations in estimation from panel data
• Specification Tests in Econometrics
• The sensitivity of OLS when the variance matrix is (partially) unknown
• Useful matrix transformations for panel data analysis: a survey

Cited in

(1)

• On the sensitivity of the one-sided \(t\) test to covariance misspecification

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