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

By Nilanjan Roy. 2002

48 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/f2d5986e69ceed08d3176358cf08b807a6da63f3

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In Economics and Econometrics

1. Badi H. Baltagi
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3. B. C. Jung
4. Lung-fei Lee
5. Jihai Yu
6. J. Paul Elhorst
7. Harry H. Kelejian
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Citations in the corpus

• Testing for heteroskedasticity and serial correlation in a random effects panel data model (2010, methodology): “For the individual heteroskedasticity, we adopt the Roy (2002) setup.”