Robust estimators for the fixed effects panel data model
نویسندگان
چکیده
منابع مشابه
Robust Estimators for the Fixed Effects Panel Data Model
The presence of outlying observations in panel data can affect the classical estimates in a dramatic way. Nevertheless the common practice seems to disregard the problem. The aim of this work is to study robust regression techniques in the fixed effects linear panel data framework. Robustness of the procedures is investigated by means of breakdown point computations and simulation experiments. ...
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The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees-of-freedom adjustment), applied to the fixed-effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is fixed (and greater than 2) as the number of entities n increases. We provide a bias-adjusted HR estim...
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ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2007
ISSN: 1368-4221,1368-423X
DOI: 10.1111/j.1368-423x.2007.00220.x