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Instrumental variable estimation of heteroskedasticity adaptive error component models

Abstract:

The linear panel data estimator proposed by Hausman and Taylor relaxes the hypothesis of exogenous regressors that is assumed by generalized least squares methods but, unlike the Fixed Effects estimator, it can handle endogenous time invariant explanatory variables in the regression equation. One of the assumptions underlying the estimator is the homoskedasticity of the error components. This can be restrictive in applications, and therefore in this paper the assumption is relaxed and more ef...

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Publisher copy:
10.1007/s00362-011-0366-5

Authors


Journal:
Statistical Papers
Volume:
53
Issue:
3
Pages:
577-615
Publication date:
2012-08-05
DOI:
EISSN:
1613-9798
ISSN:
0932-5026
URN:
uuid:10a0c979-6ff4-45d1-bf4b-38b7e2a2c2b3
Source identifiers:
351487
Local pid:
pubs:351487

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