Asymptotics and Bootstrap for Transformed Panel Data Regressions

Liangjun Su () and Zhenlin Yang

No 03-2009, Working Papers from Singapore Management University, School of Economics

Abstract: This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for transformed random effects models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoscedasticity, and simple model structure. We develop a quasi maximum likelihood-type procedure for model estimation and inference. We prove the consistency and asymptotic normality of the parameter estimates, and propose a simple bootstrap procedure that leads to a robust estimate of the variance-covariance matrix. Monte Carlo results reveal that these estimates perform well in finite samples, and that the gains by using bootstrap procedure for inference can be enormous.

Keywords: Asymptotics; Bootstrap; Quasi-MLE; Transformed panels; Variancecovariance matrix estimate. (search for similar items in EconPapers)
JEL-codes: C15 C23 C51 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2009-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in SMU Economics and Statistics Working Paper Series

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Related works:
Working Paper: Asymptotics and Bootstrap for Transformed Panel Data Regressions (2008)
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