Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence

Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence

For a panel data model (PDM), it is common that the error terms of panel regression model are heteroscedastic. In the available literature, the heteroscedastic consistent covariance matrix estimators (HCCMEs) have been used for adequate testing of the coefficients of PDM. Usually, these HCCMEs are b...

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Bibliographic Details
Main Authors: Afshan Saeed, Muhammad Aslam, Saima Altaf, Muhammad Amanullah
Format: Article
Language:English
Published: Taylor & Francis Group 2018-01-01
Series:Cogent Mathematics & Statistics
Subjects:
adaptive estimator
hccme
leverage points
panel data model
power of test
size distortion
Online Access:http://dx.doi.org/10.1080/25742558.2018.1463598

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