A Bilinear Model for Heteroskedastic Panel Data

John G. Cragg

Annals of Economics and Statistics, 1993, issue 30, 121-141

Abstract: A model is developed in which an unobserved variable, the same for all individuals but varying over time, interacts with observed variables and unknown coefficients for each individual. Different individual residual variances are allowed. Statistical inference, including estimation of the unobserved variable, presents some difficulties. Procedures to overcome these problems are suggested and analyzed for estimation of the parameters and testing some hypotheses. The procedures are applied to an illustrative example for the connection between the earnings and assets of corporations with results suggesting that the model may be appropriate and that rates of return are related to the size of assets of companies.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1993:i:30:p:121-141

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