期刊名称：Pakistan Journal of Statistics and Operation Research
印刷版ISSN：2220-5810
出版年度：2016
卷号：12
期号：4
页码：589-608
DOI：10.18187/pjsor.v12i4.1441
语种：English
出版社：College of Statistical and Actuarial Sciences
摘要：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.
其他摘要：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.
