IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE

Nilanjana Roy

Econometric Reviews, 2002, vol. 21, issue 2, 189-203

Abstract: This paper first derives an adaptive estimator when heteroskedasticity is present in the individual specific error in an error component model and then compares the finite sample performance of the proposed estimator with various other estimators. While the Monte Carlo results show that the proposed estimator performs adequately in terms of relative efficiency, its performance on the basis of empirical size is quite similar to the other estimators considered.

Keywords: Heteroskedasticity; Kernel estimation; Error component model; JEL Classification; C14; C23 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (17)

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DOI: 10.1081/ETC-120014348

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