Exact Inference for the Linear Model with Groupwise Heteroscedasticity

Paul A. Bekker and E. C. Leertouwer
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Paul A. Bekker: University of Groningen
E. C. Leertouwer: University of Groningen

No 1760, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: Exact inference on a single coefficient in a linear regression model, as introduced by Bekker (1997), is elaborated for the case of normally distributed heteroscedastic disturbances. Instead of approximate inference based on feasible generalized least squares, exact confidence sets are formulated based on partial rotational invariance of the distribution of the vector of disturbances. The approach is applied to the random-effects and fixed-effects models for panel data.

Date: 2000-08-01
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