Leave out estimation of variance components

Neyman Seminar
Nov 1, 2017 4:00pm to 5:00pm
1011 Evans Hall
Happening As Scheduled
We propose a general framework for unbiased estimation of quadratic forms of regression coefficients in linear models with unrestricted heteroscedasticity. Economic applications include variance component estimation in multi-way fixed effects and random coefficient models. The large sample distribution of our estimator is studied in an asymptotic framework where the number of regressors grows in...
Patrick Kline, University of California, Berkeley