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Exact inference for the linear model with groupwise heteroscedastic spherical disturbances

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  • Bekker, Paul
  • Leertouwer, Erik

    (Groningen University)

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

  • Bekker, Paul & Leertouwer, Erik, 2000. "Exact inference for the linear model with groupwise heteroscedastic spherical disturbances," CCSO Working Papers 200008, University of Groningen, CCSO Centre for Economic Research.
    • Handle: RePEc:gro:rugccs:200008
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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.
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