Heteroskedastic individual effects. (a) For the one-way error component model with heteroskedastic (mu_{i}), i.e., (mu_{i} simleft(0, w_{i}^{2}ight)),

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Heteroskedastic individual effects.

(a) For the one-way error component model with heteroskedastic $\mu_{i}$, i.e., $\mu_{i} \sim\left(0, w_{i}^{2}ight)$, verify that $\Omega=E\left(u u^{\prime}ight)$ is given by (5.1) and (5.2).

(b) Using the Wansbeek and Kapteyn (1982) trick show that $\Omega$ can also be written as in (5.3).

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Econometric Analysis Of Panel Data

ISBN: 9783030539528

6th Edition

Authors: Badi H Baltagi

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Question Posted: Mar 02, 2024 11:01 PM

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Heteroskedastic individual effects. (a) For the one-way error component model with heteroskedastic (mu_{i}), i.e., (mu_{i} simleft(0, w_{i}^{2}ight)),

Question:

= E(uu') = ZZ + 6 INT = (5.1)

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Econometric Analysis Of Panel Data

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