English, Article, Journal or magazine article edition: Asymptotics and Bootstrap for Transformed Panel Data Regressions Liangjun Su; Zhenlin Yang

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Bookmark: http://trove.nla.gov.au/version/6206
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Asymptotics and Bootstrap for Transformed Panel Data Regressions
Author
  • Liangjun Su
  • Zhenlin Yang
Physical Description
  • preprint
Notes
  • This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for transformed random effects models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoscedasticity, and simple model structure. We develop a quasi maximum likelihood-type procedure for model estimation and inference. We prove the consistency and asymptotic normality of the parameter estimates, and propose a simple bootstrap procedure that leads to a robust estimate of the variance-covariance matrix. Monte Carlo results reveal that these estimates perform well in finite samples, and that the gains by using bootstrap procedure for inference can be enormous.
  • Asymptotics; Bootstrap; Quasi-MLE; Transformed panels; Variancecovariance matrix estimate.
  • RePEc:siu:wpaper:03-2009
Language
  • English
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