Heteroskedasticity in Fixed-Effects One-Way Error Component Models: Evaluating the Performance of Standard Tests

2008 ◽  
Author(s):  
Carolina Castilla
Keyword(s):  
Fixed Effects ◽  
Error Component ◽  
Component Models ◽  
Standard Tests

Intercept Homogeneity Test for Fixed Effect Models under Cross-sectional Dependence: Some Insights

2017 ◽  
Vol 6 (1) ◽  
Author(s):  
Gopal K. Basak ◽  
Samarjit Das
Keyword(s):  
Fixed Effects ◽  
Random Effect ◽  
Error Component ◽  
Fixed Effect ◽  
Homogeneity Test ◽  
Cross Sectional ◽  
Cross Sectional Dependence ◽  
Component Models

AbstractThis paper develops a test for intercept homogeneity in fixed-effects one-way error component models assuming slope homogeneity. We show that the proposed test works equally well when intercepts are assumed to be either fixed (non-stochastic) or random. Moreover, this test can also be used to test for random effect vs. fixed effect although in the restrictive sense. The test is shown to be robust to cross-sectional dependence; for both

Estimating Error Component Models With General MA(q) Disturbances

1994 ◽  
Vol 10 (2) ◽  
pp. 396-408 ◽  
Author(s):  
Badi H. Baltagi ◽  
Qi Li
Keyword(s):  
Monte Carlo ◽  
Panel Data ◽  
Estimation Method ◽  
Error Component ◽  
Component Model ◽  
Brute Force ◽  
Monte Carlo Experiments ◽  
Error Component Model ◽  
Simple Estimation ◽  
Component Models

This paper provides a simple estimation method for an error component regression model with general MA(q) remainder disturbances. The estimation method utilizes the transformation derived by Baltagi and Li [3] for an error component model with autoregressive remainder disturbances, and a standard orthogonalizing algorithm for the general MA(q) model. This estimation method is computationally simple utilizing only least-squares regressions. This is important for panel data regressions where brute force GLS is in many cases not feasible.This estimation method performs well relative to true GLS in Monte-Carlo experiments.

ADAPTIVE ESTIMATION OF HETEROSKEDASTIC ERROR COMPONENT MODELS

2005 ◽  
Vol 24 (1) ◽  
pp. 39-58 ◽  
Author(s):  
Badi H. Baltagi ◽  
Georges Bresson ◽  
Alain Pirotte
Keyword(s):  
Adaptive Estimation ◽  
Error Component ◽  
Component Models
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