Refbacks
- There are currently no refbacks.
Copyright (c) 2016 Pakistan Journal of Statistics and Operation Research

This work is licensed under a Creative Commons Attribution 4.0 International License.
Title
Improved Inference of Heteroscedastic Fixed Effects Models
Keywords
Bootstrap; HCCME; Kernel smoothing; Leverage points; Size distortion
Description
Heteroscedasticity is a stern problem that distorts estimation and testing of panel data model (PDM). Arellano (1987) proposed the White (1980) estimator for PDM with heteroscedastic errors but it provides erroneous inference for the data sets including high leverage points. In this paper, our attempt is to improve heteroscedastic consistent covariance matrix estimator (HCCME) for panel dataset with high leverage points. To draw robust inference for the PDM, our focus is to improve kernel bootstrap estimators, proposed by Racine and MacKinnon (2007). The Monte Carlo scheme is used for assertion of the results.
Date
2016-12-01
Identifier
Source
Pakistan Journal of Statistics and Operation Research; Vol. 12 No. 4, 2016
Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810