Asymptotics and Bootstrap for Transformed Panel Data Regressions

• Main Authors: SU, Liangjun, YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: Asymptotics; Bootstrap; Quasi-MLE; Transformed panels; Variance-covariance matrix estimate; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1138; https://ink.library.smu.edu.sg/context/soe_research/article/2137/viewcontent/SuYang08a.pdf
• Institution: Singapore Management University

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 stru...