Comparing Fixed Effects and Covariance Structure Estimators for Panel Data  

Oleh:

Ejrnaes, Mette ; Holm, Anders

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Sociological Methods & Research (SMR) vol. 35 no. 01 (Aug. 2006), page 61-83.
Topik: Panel Data; Fixed Effects Estimator; Covariance Structure Estimator; Spesification Test
Fulltext: SMR vol.35 no.1 p.61 Aug 2006_win.pdf (170.81KB)

Ketersediaan

Perpustakaan PKPM Nomor Panggil: S28 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

In this article, the authors compare the traditional econometric fixed effect estimator with the maximum likelihood estimator implied by covariance structure models for panel data. Their findings are that the maximum like lipoid estimator is remarkably robust to certain types of misspecifications (e.g., deviation from the assumption of an underlying normal distribution). However, with other types of misspecification, the fixed estimator is pre ferable. Furthermore, the authors suggest that the Hausman specification test may be used as a test of the consistency of the maximum likelihood estimator.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali