A Transformed Random Effects Model with Applications

• 主要作者: YANG, Zhenlin
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2007
• 主題: computational device; flexible functional form; maximum likelihood estimation; one-sided LM tests; robustness; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1039
• 機構: 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...