Robust Estimators for The Fixed Effects Panel Data Model  

Oleh:

Bramati, Maria Caterina ; Croux, Christophe

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 10 no. 3 (2007), page 521-540.
Topik: robust; breakdown point; fixed effects model; linear regression; panel data; robustness
Fulltext: 521.pdf (254.58KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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. A distinction between outlying blocks and cells in a panel is made. To show the potential of robust panel data methods, an empirical example on the response of the private sector behaviour to fiscal policy is presented.

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