Publication: Random effects panel data models with known heteroskedasticity
Random effects panel data models with known heteroskedasticity
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Schäper, J., & Winkelmann, R. (2024). Random effects panel data models with known heteroskedasticity (No. 445; Working Paper Series / Department of Economics).
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The paper considers two estimators for the linear random effects panel data model with known heteroskedasticity. Examples where heteroskedasticity can be treated as given include panel regression with averaged data, meta regression and the linear probability model. While one estimator builds on the additive random effects assumption, the other, which is simpler to implement in standard software, assumes that the random effect is multiplied by the heteroskedastic standard deviation. Simulation results show that substantial efficiency g
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Schäper, J., & Winkelmann, R. (2024). Random effects panel data models with known heteroskedasticity (No. 445; Working Paper Series / Department of Economics).
