Estimating multi-way error components models with unbalanced data structures

By Peter Davis. 2002

224 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Marketing

View Paper: https://www.semanticscholar.org/paper/be7af798a35c7b50b3f46099d2e7659d0be5ccc5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Marketing

Citations in the corpus

Small-Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models (2016, background): “For further details on sequential absorption, see Davis (2002).”
Econometric Analysis of Panel Data (2020, methodology): “This is Corollary 1 of Davis (2001). (Hint: Apply (9.29) twice. Let X1 = 1 and X2 = ( 2, 3). Using problem 9.6, we get P[X ] = P[ 1] + P[Q[ 1] X2]. Now, Q[ 1] X2 = Q[ 1]( 2, 3) = [B, Q[A] 3]. Applying (9.29) again we get P[B,Q[A] 3] = P[B] + P[Q[B] Q[A] 3].) 9.8 (a) For 1 and 2 defined in (9.28), ve”
Spatial competition in retail markets: movie theaters (2006, methodology): “In fact, I developed an entire set of techniques for estimating the three-way error components model for unbalanced data structures, reported in Davis (2002a) to do so.”
Robust Inference with Clustered Data (2010, background): “Donald and Lang (2007) give various conditions under which the resulting Wald statistic based on b j is TG L distributed.”
Firm Size and Innovation in European Manufacturing (2008, unknown): “8 Davis (2002) performed Montecarlo Simulations and concluded that the maximum likelihood estimator (MLE) is computationally more intensive, has a higher mean squared error than RE estimators when the group variances are different from zero, but offers huge advantages when some of the group…”
Robust Inference With Multiway Clustering (2006, unknown): “Davis (2002) modeled film attendance data clustered by film, theater, and time and provided a quite general way to implement feasible GLS even with clustering in many dimensions.”
A Practitioner’s Guide to Cluster-Robust Inference (2015, methodology): “For estimation of a many- way random effects model, see Davis (2002), which modeled fi lm attendance data clustered by fi lm, theater, and time.”
High Unemployment Yet Few Small Firms: The Role of Centralized Bargaining in South Africa (2012, background): “Unfortunately, a simple adjustment such as that in Davis (2002) is not possible, as the spatial fixed effects cannot be represented as a projection onto the column space of a number of dummy variables.”