Instrumental variable estimation of heteroskedasticity adaptive error component models

Eduardo Fé

Research output: Contribution to journalArticle

Abstract

The linear panel data estimator proposed by Hausman and Taylor relaxes the hypothesis of exogenous regressors that is assumed by generalized least squares methods but, unlike the Fixed Effects estimator, it can handle endogenous time invariant explanatory variables in the regression equation. One of the assumptions underlying the estimator is the homoskedasticity of the error components. This can be restrictive in applications, and therefore in this paper the assumption is relaxed and more efficient adaptive versions of the estimator are presented.

Original languageEnglish
Pages (from-to)577-615
Number of pages39
JournalStatistical Papers
Volume53
Issue number3
Early online date3 Feb 2011
DOIs
Publication statusPublished - Aug 2012

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Keywords

  • Hausman-Taylor
  • heteroskedasticity
  • local polynomial regression
  • panel data

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