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Size distortions of tests for heteroskedasticity, cross-selectional correlation and autocorrelation in dinamic panel data models
(Centro de Investigación y Docencia Económicas, División de Economía, 1998)
This paper investigates the extent to which different error covariance structures can be identified in finite samples in a dynamic panel data context. Specifically, the size of several known tests for heteroskedasticity, ...
Performance of various estimators in dynamic panel data models
(Centro de Investigación y Docencia Económicas, División de Economía, 1998)
This paper investigates the performance of various estimators in dynamic panel data models, in small samples and highly persistent AR processes. Tt is found that the different estimators of the AR parameter are either ...