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Cogent Mathematics & Statistics Volume 5, 2018 - Issue 1
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Research Article

Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence

Afshan SaeedDepartment of Statistics, Bahauddin Zakariya University, Multan60800, PakistanView further author information
,
Muhammad AslamDepartment of Statistics, Bahauddin Zakariya University, Multan60800, PakistanCorrespondence[email protected]
,
Saima AltafDepartment of Statistics, Bahauddin Zakariya University, Multan60800, Pakistan
&
Muhammad AmanullahDepartment of Statistics, Bahauddin Zakariya University, Multan60800, Pakistan
|
Chaohua DongSouthwestern University of Finance and Economics, China
(Reviewing Editor)
Article: 1463598 | Received 18 Oct 2017, Accepted 29 Mar 2018, Published online: 25 Apr 2018

Figures & data

Table 1. Mean and MSE (N = 50, T = 3)

Table 2. Mean and MSE (N = 100, T = 3)

Figure 1. Empirical size (%) for β.

Figure 1. Empirical size (%) for β.

Table 3. NRR of quasi-t test for N = 50, T = 3

Table 4. NRR of quasi-t test for N = 100, T = 3

Figure 2. Empirical coverage (%) for β.

Figure 2. Empirical coverage (%) for β.

Table 5. 95% Confidence interval: coverage (%) and length (N = 50, T = 3)

Table 6. 95% Confidence interval: coverage (%) and length (N = 100, T = 3)

Figure 3. Empirical power at 5% LOS (N = 50, T = 3; σv2=2).

Figure 3. Empirical power at 5% LOS (N = 50, T = 3; σv2=2).

Figure 4. Empirical power at 5% LOS (N = 50, T = 3; σv2=4).

Figure 4. Empirical power at 5% LOS (N = 50, T = 3; σv2=4).

Figure 5. Empirical power at 5% LOS (N = 50, T = 3; σv2=6).

Figure 5. Empirical power at 5% LOS (N = 50, T = 3; σv2=6).

Table 7. Power results (%) for σv2=2,N=50,T=3

Figure 6. Empirical power at 5% LOS (N = 100, T = 3; σv2=2).

Figure 6. Empirical power at 5% LOS (N = 100, T = 3; σv2=2).

Figure 7. Empirical power at 5% LOS (N = 100, T = 3; σv2=4).

Figure 7. Empirical power at 5% LOS (N = 100, T = 3; σv2=4).

Figure 8. Empirical power at 5% LOS (N = 100, T = 3; σv2=6).

Figure 8. Empirical power at 5% LOS (N = 100, T = 3; σv2=6).

Table 8. Comparative statistic of model (14)

Table 9. Comparative statistic of model (15)

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