A Transformed Random Effects Model with Applications

• Main Authors: YANG, Zhenlin, Huang, Jianhua
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: computational device; flexible functional form; maximum likelihood estimation; one-sided LM tests; robustness; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/523
• Institution: Singapore Management University

This paper proposes a transformed random effects model for analyzing non-normal panel data where both the response and (some of) the covariates are subject to transformations for inducing flexible functional form, normality, homoscedasticity, and simple model structure. We develop a maximum likeliho...