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Exact Inference for the Linear Model with Groupwise Heteroscedasticity

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  • Paul A. Bekker

    (University of Groningen)

  • E. C. Leertouwer

    (University of Groningen)

Abstract

Exact inference on a single coefficient in a linear regression model, as introduced by Bekker (1997), is elaborated for the case of normally distributed heteroscedastic disturbances. Instead of approximate inference based on feasible generalized least squares, exact confidence sets are formulated based on partial rotational invariance of the distribution of the vector of disturbances. The approach is applied to the random-effects and fixed-effects models for panel data.

Suggested Citation

  • Paul A. Bekker & E. C. Leertouwer, 2000. "Exact Inference for the Linear Model with Groupwise Heteroscedasticity," Econometric Society World Congress 2000 Contributed Papers 1760, Econometric Society.
    • Handle: RePEc:ecm:wc2000:1760
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    References listed on IDEAS

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    3. Boozer, Michael A., 1997. "Econometric Analysis of Panel DataBadi H. Baltagi Wiley, 1995," Econometric Theory, Cambridge University Press, vol. 13(5), pages 747-754, October.
    4. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
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