On the estimation of covariance matrices using panel data artificial regressions

Patacchini, Eleonora (2003) On the estimation of covariance matrices using panel data artificial regressions. Southampton, University of Southampton (Discussion Papers in Economics and Econometrics 0303).


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The use of artificial regressions to compute the variance of the difference of pairs of panel data estimators that cannot be ranked in terms of efficiency is considered. It is illustrated how it is possible to get (asymtotically) valid estimators of covariance matrices for differences between estimators when the assumption that the error term in the auxiliary model is IID is violated. We distinguish two possible deviations, one leading only to a non-spherical-within groups covariance matrix and the second leading to a non-spherical-between-groups covariance matrix also. It is shown to what extent the use of an artificial regression with panel data can lead to a robust estimator of the covariance matrix in the first case whereas it leads to a non valid estimator in the second. An alternative step by step procedure is presented.

Item Type: Monograph (Discussion Paper)
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Keywords: artificial regression models, panel data, covariance matrices estimates, hypothesis testing
Subjects: H Social Sciences > HA Statistics
Divisions : University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 33204
Accepted Date and Publication Date:
2003Made publicly available
Date Deposited: 18 May 2006
Last Modified: 27 Mar 2014 18:20
URI: http://eprints.soton.ac.uk/id/eprint/33204

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