کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096250 | 1376513 | 2013 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
This paper studies robust inference for linear panel models with fixed effects in the presence of heteroskedasticity and spatiotemporal dependence of unknown forms. We propose a bivariate kernel covariance estimator that nests existing estimators as special cases. Our estimator improves upon existing estimators in terms of robustness, efficiency, and adaptiveness. For distributional approximations, we considered two types of asymptotics: the increasing-smoothing asymptotics and the fixed-smoothing asymptotics. Under the former asymptotics, the Wald statistic based on our covariance estimator converges to a chi-square distribution. Under the latter asymptotics, the Wald statistic is asymptotically equivalent to a distribution that can be well approximated by an F distribution. Simulation results show that our proposed testing procedure works well in finite samples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 177, Issue 1, November 2013, Pages 85-108
Journal: Journal of Econometrics - Volume 177, Issue 1, November 2013, Pages 85-108
نویسندگان
Min Seong Kim, Yixiao Sun,