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Some Monte Carlo Evidence for Adaptive Estimation of Unit-Time Varying Heteroscedastic Panel Data Models

Pakistan Journal of Statistics and Operation Research

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Title Some Monte Carlo Evidence for Adaptive Estimation of Unit-Time Varying Heteroscedastic Panel Data Models
 
Creator Pasha, G. R.
Aslam, Muhammad
 
Description In this paper, we present an adaptive estimator for panel data model with unknown unit-time varying heteroscedastic error component of unknown form by using probability weighted moments rather than conventional kernel estimators already available in the literature and then evaluate the finite sample performance of the proposed estimator in terms of efficiency and testing of hypothesis. The Monte Carlo evidence suggests that the proposed estimator performs adequately under different data generated processes, especially for small samples that are the most practical situations.
 
Publisher College of Statistical and Actuarial Sciences
 
Date 2005-07-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.pjsor.com/index.php/pjsor/article/view/114
10.18187/pjsor.v1i1.114
 
Source Pakistan Journal of Statistics and Operation Research; Vol 1. No. 1, July 2005; 33-44
2220-5810
1816-2711
 
Language eng
 
Relation http://www.pjsor.com/index.php/pjsor/article/view/114/90