On the use of the helmert transformation, and its applications in panel data econometrics
Kolev,Gueorgui I. Azacis,Helmuts
Kolev,Gueorgui I.
Azacis,Helmuts
Abstract
We revisit the Helmert transformation, and provide a useful and simple derivation of the joint distribution of the sample mean and the sample variance in samples from independently and identically distributed normal random variables. Our derivation is distinguished by concreteness, very little abstractness, and should be appealing to beginning students of statistics, and to both beginning and advanced students of econometrics. We also highlight one fruitful application of the Helmert transformation in panel data econometrics. The Helmert transformation can be used to eliminate the fixed effects in the estimation of fixed effects models, and we briefly review this application of the transformation in the panel data context.
Description
Publisher Copyright: © 2022 Walter de Gruyter GmbH, Berlin/Boston 2022.
Date
2023-01
Journal Title
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Volume Title
Publisher
Research Projects
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Journal Issue
Keywords
fixed effects model, Helmert transformation, panel data econometrics, sample mean, sample variance, B23 - Econometrics ; Quantitative and Mathematical Studies, C20 - General
Citation
Kolev, G I & Azacis, H 2023, 'On the use of the helmert transformation, and its applications in panel data econometrics', Journal of Econometric Methods, vol. 12, no. 1, pp. 131-138. https://doi.org/10.1515/jem-2021-0023