IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v7y1991i03p369-384_00.html
   My bibliography  Save this article

On the Estimated Variances of Regression Coefficients in Misspecified Error Components Models

Author

Listed:
  • Deschamps, Philippe J.

Abstract

In a regression model with an arbitrary number of error components, the covariance matrix of the disturbances has three equivalent representations as linear combinations of matrices. Furthermore, this property is invariant with respect to powers, matrix addition, and matrix multiplication. This result is applied to the derivation and interpretation of the inconsistency of the estimated coefficient variances when the error components structure is improperly restricted. This inconsistency is defined as the difference between the asymptotic variance obtained when the restricted model is correctly specified, and the asymptotic variance obtained when the restricted model is incorrectly specified; when some error components are improperly omitted, and the remaining variance components are consistently estimated, it is always negative. In the case where the time component is improperly omitted from the two-way model, we show that the difference between the true and estimated coefficient variances is of order greater than N–1 in probability.

Suggested Citation

  • Deschamps, Philippe J., 1991. "On the Estimated Variances of Regression Coefficients in Misspecified Error Components Models," Econometric Theory, Cambridge University Press, vol. 7(3), pages 369-384, September.
    • Handle: RePEc:cup:etheor:v:7:y:1991:i:03:p:369-384_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466600004515/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. van de Klundert, Theo C N J & van der Ploeg, Frederick, 1987. "Wage Rigidity and Capital Mobility in an Optimizing Model of a Small Open Economy," CEPR Discussion Papers 168, C.E.P.R. Discussion Papers.
    2. Marini, Giancarlo & van der Ploeg, Frederick, 1988. "Monetary and Fiscal Policy in an Optimising Model with Capital Accumulation and Finite Lives," Economic Journal, Royal Economic Society, vol. 98(392), pages 772-786, September.
    3. Amemiya, Takeshi, 1971. "The Estimation of the Variances in a Variance-Components Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(1), pages 1-13, February.
    4. Greenwald, Bruce C., 1983. "A general analysis of bias in the estimated standard errors of least squares coefficients," Journal of Econometrics, Elsevier, vol. 22(3), pages 323-338, August.
    5. Nerlove, Marc, 1971. "A Note on Error Components Models," Econometrica, Econometric Society, vol. 39(2), pages 383-396, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Marius C. O. Amba, 2021. "Simultaneous Equations with Three Way Error Components," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(3), pages 583-596, September.
    2. Dong Kim, 2012. "What is an oil shock? Panel data evidence," Empirical Economics, Springer, vol. 43(1), pages 121-143, August.
    3. Nijman, T.E. & Palm, F.C., 1991. "Generalized least squares estimation of linear models containing rational future expectations," Other publications TiSEM 84eea9d9-bc3c-4d75-97d5-3, Tilburg University, School of Economics and Management.
    4. Baltagi, Badi H. & Pirotte, Alain, 2010. "Panel data inference under spatial dependence," Economic Modelling, Elsevier, vol. 27(6), pages 1368-1381, November.
    5. Wansbeek, Tom & Kapteyn, Arie, 1989. "Estimation of the error-components model with incomplete panels," Journal of Econometrics, Elsevier, vol. 41(3), pages 341-361, July.
    6. Lee, Lung-fei & Yu, Jihai, 2010. "Estimation of spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 154(2), pages 165-185, February.
    7. Mehmet Umutlu, 2010. "Firm leverage and investment decisions in an emerging market," Quality & Quantity: International Journal of Methodology, Springer, vol. 44(5), pages 1005-1013, August.
    8. Wei-Chun Tseng & Chi-Chung Chen & Ching-Cheng Chang & Yu-Hsien Chu, 2009. "Estimating the economic impacts of climate change on infectious diseases: a case study on dengue fever in Taiwan," Climatic Change, Springer, vol. 92(1), pages 123-140, January.
    9. van der Ploeg, Frederick, 1987. "International Interdependence and Policy Coordination in Economies with Real and Nominal Wage Rigidity," CEPR Discussion Papers 217, C.E.P.R. Discussion Papers.
    10. Canegrati, Emanuele, 2008. "A Non-Random Walk down Canary Wharf," MPRA Paper 9871, University Library of Munich, Germany.
    11. Paolo, Foschi, 2005. "Estimating regressions and seemingly unrelated regressions with error component disturbances," MPRA Paper 1424, University Library of Munich, Germany, revised 07 Sep 2006.
    12. van de Klundert, T.C.M.J. & Smulders, J.A., 1991. "Reconstructing growth theory : A survey," Other publications TiSEM 19355c51-17eb-4d5d-aa66-b, Tilburg University, School of Economics and Management.
    13. David G. Blanchflower & Andrew Oswald, 1995. "International Wage Curves," NBER Chapters, in: Differences and Changes in Wage Structures, pages 145-174, National Bureau of Economic Research, Inc.
    14. Valentine Fays & Benoît Mahy & François Rycx, 2023. "Wage differences according to workers' origin: The role of working more upstream in GVCs," LABOUR, CEIS, vol. 37(2), pages 319-342, June.
    15. Andrea Vaona & Mario Pianta, 2008. "Firm Size and Innovation in European Manufacturing," Small Business Economics, Springer, vol. 30(3), pages 283-299, March.
    16. François Rycx & Ilan Tojerow, 2004. "Rent sharing and the gender wage gap in Belgium," International Journal of Manpower, Emerald Group Publishing Limited, vol. 25(3/4), pages 279-299, April.
    17. Brito Paulo & Marini Giancarlo & Piergallini Alessandro, 2016. "House prices and monetary policy," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 251-277, June.
    18. Verbeek, M.J.C.M. & Nijman, T.E., 1993. "Testing for selectivity bias in panel data models," Other publications TiSEM 45c3a75b-eb19-456f-ba92-a, Tilburg University, School of Economics and Management.
    19. Ascari, Guido & Rankin, Neil, 2007. "Perpetual youth and endogenous labor supply: A problem and a possible solution," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 708-723, December.
    20. O'Brien, Raymond & Patacchini, Eleonora, 2003. "Testing the exogeneity assumption in panel data models with "non classical" disturbances," Discussion Paper Series In Economics And Econometrics 0302, Economics Division, School of Social Sciences, University of Southampton.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:7:y:1991:i:03:p:369-384_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.