Asymptotics and bootstrap for random-effects panel data transformation models

• Main Authors: SU, Liangjun, YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: Asymptotics; error components bootstrap; quasi-MLE; Transformed panels; random-effects; robust VC matrix estimation; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1920; https://ink.library.smu.edu.sg/context/soe_research/article/2919/viewcontent/Asymptotics_and_bootstrap_2015_pp.pdf
• Institution: Singapore Management University

This article investigates the asymptotic properties of quasi-maximum likelihood (QML) estimators for random-effects panel data transformation models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoskedasticity,...