ASYMPTOTIC THEORY IN FIXED EFFECTS PANEL DATA SEEMINGLY UNRELATED PARTIALLY LINEAR REGRESSION MODELS

2013 ◽  
Vol 30 (2) ◽  
pp. 407-435 ◽  
Author(s):  
Jinhong You ◽  
Xian Zhou
Keyword(s):  
Panel Data ◽  
Linear Regression ◽  
Regression Model ◽  
Fixed Effects ◽  
Partially Linear Model ◽  
Regression Equations ◽  
Linear Regression Models ◽  
Finite Sample ◽  
Partially Linear ◽  
Contemporaneous Correlation

This paper deals with statistical inference for the fixed effects panel data seemingly unrelated partially linear regression model. The model naturally extends the traditional fixed effects panel data regression model to allow for semiparametric effects. Multiple regression equations are permitted, and the model includes the aggregated partially linear model as a special case. A weighted profile least squares estimator for the parametric components is proposed and shown to be asymptotically more efficient than those neglecting the contemporaneous correlation. Furthermore, a weighted two-stage estimator for the nonparametric components is also devised and shown to be asymptotically more efficient than those based on individual regression equations. The asymptotic normality is established for estimators of both parametric and nonparametric components. The finite-sample performance of the proposed methods is evaluated by simulation studies.

Fitting partially linear functional-coefficient panel-data models with Stata

2020 ◽  
Vol 20 (4) ◽  
pp. 976-998
Author(s):  
Kerui Du ◽  
Yonghui Zhang ◽  
Qiankun Zhou
Keyword(s):  
Monte Carlo ◽  
Panel Data ◽  
Fixed Effects ◽  
Linear Functional ◽  
Semiparametric Estimation ◽  
Data Models ◽  
Panel Data Models ◽  
Panel Models ◽  
Partially Linear ◽  
Functional Coefficient

In this article, we describe the implementation of fitting partially linear functional-coefficient panel models with fixed effects proposed by An, Hsiao, and Li [2016, Semiparametric estimation of partially linear varying coefficient panel data models in Essays in Honor of Aman Ullah ( Advances in Econometrics, Volume 36)] and Zhang and Zhou (Forthcoming, Econometric Reviews). Three new commands xtplfc, ivxtplfc, and xtdplfc are introduced and illustrated through Monte Carlo simulations to exemplify the effectiveness of these estimators.

scholarly journals TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS

2013 ◽  
Vol 29 (6) ◽  
pp. 1079-1135 ◽  
Author(s):  
Liangjun Su ◽  
Qihui Chen
Keyword(s):  
Panel Data ◽  
Fixed Effects ◽  
Data Models ◽  
Development Economic ◽  
Strong Mixing ◽  
Panel Data Models ◽  
Finite Sample ◽  
Test Statistic ◽  
Lm Test ◽  
Interactive Fixed Effects

This paper proposes a residual-based Lagrange Multiplier (LM) test for slope homogeneity in large-dimensional panel data models with interactive fixed effects. We first run the panel regression under the null to obtain the restricted residuals and then use them to construct our LM test statistic. We show that after being appropriately centered and scaled, our test statistic is asymptotically normally distributed under the null and a sequence of Pitman local alternatives. The asymptotic distributional theories are established under fairly general conditions that allow for both lagged dependent variables and conditional heteroskedasticity of unknown form by relying on the concept of conditional strong mixing. To improve the finite-sample performance of the test, we also propose a bootstrap procedure to obtain the bootstrap p-values and justify its validity. Monte Carlo simulations suggest that the test has correct size and satisfactory power. We apply our test to study the Organization for Economic Cooperation and Development economic growth model.

scholarly journals Machine Learning for Mortality Prediction in Pediatric Myocarditis

2021 ◽  
Vol 9 ◽  
Author(s):  
Fu-Sheng Chou ◽  
Laxmi V. Ghimire
Keyword(s):  
Machine Learning ◽  
Linear Regression ◽  
Regression Model ◽  
Current Knowledge ◽  
External Validation ◽  
Model Development ◽  
Kidney Injury ◽  
High Specificity ◽  
Mortality Prediction ◽  
Linear Regression Models

Background: Pediatric myocarditis is a rare disease. The etiologies are multiple. Mortality associated with the disease is 5–8%. Prognostic factors were identified with the use of national hospitalization databases. Applying these identified risk factors for mortality prediction has not been reported.Methods: We used the Kids' Inpatient Database for this project. We manually curated fourteen variables as predictors of mortality based on the current knowledge of the disease, and compared performance of mortality prediction between linear regression models and a machine learning (ML) model. For ML, the random forest algorithm was chosen because of the categorical nature of the variables. Based on variable importance scores, a reduced model was also developed for comparison.Results: We identified 4,144 patients from the database for randomization into the primary (for model development) and testing (for external validation) datasets. We found that the conventional logistic regression model had low sensitivity (~50%) despite high specificity (>95%) or overall accuracy. On the other hand, the ML model struck a good balance between sensitivity (89.9%) and specificity (85.8%). The reduced ML model with top five variables (mechanical ventilation, cardiac arrest, ECMO, acute kidney injury, ventricular fibrillation) were sufficient to approximate the prediction performance of the full model.Conclusions: The ML algorithm performs superiorly when compared to the linear regression model for mortality prediction in pediatric myocarditis in this retrospective dataset. Prospective studies are warranted to further validate the applicability of our model in clinical settings.

Estimation in Dynamic Linear Regression Models with Infinite Variance Errors

1993 ◽  
Vol 9 (4) ◽  
pp. 570-588 ◽  
Author(s):  
Keith Knight
Keyword(s):  
Asymptotic Behavior ◽  
Linear Regression ◽  
Regression Model ◽  
Linear Regression Model ◽  
Regression Models ◽  
Infinite Variance ◽  
Linear Regression Models ◽  
Asymptotically Normal ◽  
Second Moments ◽  
True Values

This paper considers the asymptotic behavior of M-estimates in a dynamic linear regression model where the errors have infinite second moments but the exogenous regressors satisfy the standard assumptions. It is shown that under certain conditions, the estimates of the parameters corresponding to the exogenous regressors are asymptotically normal and converge to the true values at the standard n−½ rate.

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