The Multinomial Legit, discrete choice model of transport demand, has several restrictions when compared with the more general Multinomial Probit model. The most famous of these are that unobservable components of utilities ...

We derive tests for heteroskedasticity after fixed effects estimation of linear panel models. The asymptotic results are based on a ‘large N–fixed T’ framework, where the incidental parameters problem is bypassed by utilizing ...

This paper analyses the asymptotic behaviour of the autocorrelation structure exhibited by squares of time series with a Wold expansion where the input error is a sequence of random variables with mean zero and finite ...

This paper develops a bias correction scheme for a multivariate heteroskedastic errors-in-variables model. The applicability of this model is justified in areas such as astrophysics, epidemiology and analytical chemistry, ...

We show that the usual inference methods used in Di fferences-in-Di fferences (DID) might not perform well with few treated groups and heteroskedastic errors. One important example is when there is variation in the number ...

We show that asymmetric persistence induces ARCH effects, but the LM-ARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence ...

Differences-in-Differences (DID) is one of the most widely used identification strategies in applied economics. However, how to draw inferences in DID models when there are few treated groups remains an open question. We ...

The heteroskedasticity-consistent covariance matrix estimator proposed by White (1980), also known as HC0, is commonly used in practical applications and is implemented into a number of statistical software. Cribari–Neto, ...