IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
推导了误差成分模型中个体特定误差存在异方差时的自适应估计量，并通过蒙特卡洛模拟比较其有限样本表现，发现该估计量在相对效率上表现良好，但经验大小与其他估计量相似。
ABSTRACT This paper first derives an adaptive estimator when heteroskedasticity is present in the individual specific error in an error component model and then compares the finite sample performance of the proposed estimator with various other estimators. While the Monte Carlo results show that the proposed estimator performs adequately in terms of relative efficiency, its performance on the basis of empirical size is quite similar to the other estimators considered.