Is Adaptive Estimation Useful for Panel Models with Heteroskedasticity in the Unit-Specific Error Component? Some Monte Carlo Evidence
Roy, Nilanjana. (2002). Is Adaptive Estimation Useful for Panel Models with Heteroskedasticity in the Unit-Specific Error Component? Some Monte Carlo Evidence. Econometric Reviews, 21(2), 189-203.
Roy, Nilanjana. (2002). Is Adaptive Estimation Useful for Panel Models with Heteroskedasticity in the Unit-Specific Error Component? Some Monte Carlo Evidence. Econometric Reviews, 21(2), 189-203.
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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.
JOUR
Roy, Nilanjana
2002
Econometric Reviews
21
2
189-203
0747-4938 (Print) 0747-4938 (Linking)
10.1081/ETC-120014348
321