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Robust estimation procedure in panel data model

The panel data modeling has received a great attention in econometric research recently. This is due to the availability of data sources and the interest to study cross sections of individuals observed over time. However, the problems may arise in modeling the panel in the presence of cross sectiona...

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Main Authors: N.S.M., Shariff,, N.A., Hamzah,
Format: Conference Paper
Language:en_US
Published: American Institute of Physics Inc. 2015
Subjects:
Cross Sectional Dependence
Outliers
Panel Data
Robust Method
Online Access:http://ddms.usim.edu.my/handle/123456789/9238
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spelling my.usim-92382015-08-26T03:40:23Z Robust estimation procedure in panel data model N.S.M., Shariff, N.A., Hamzah, Cross Sectional Dependence Outliers Panel Data Robust Method The panel data modeling has received a great attention in econometric research recently. This is due to the availability of data sources and the interest to study cross sections of individuals observed over time. However, the problems may arise in modeling the panel in the presence of cross sectional dependence and outliers. Even though there are few methods that take into consideration the presence of cross sectional dependence in the panel, the methods may provide inconsistent parameter estimates and inferences when outliers occur in the panel. As such, an alternative method that is robust to outliers and cross sectional dependence is introduced in this paper. The properties and construction of the confidence interval for the parameter estimates are also considered in this paper. The robustness of the procedure is investigated and comparisons are made to the existing method via simulation studies. Our results have shown that robust approach is able to produce an accurate and reliable parameter estimates under the condition considered. © 2014 AIP Publishing LLC. 2015-08-26T03:40:23Z 2015-08-26T03:40:23Z 2014-01-01 Conference Paper 9780-7354-1236-1 0094-243X http://ddms.usim.edu.my/handle/123456789/9238 en_US American Institute of Physics Inc.
institution Universiti Sains Islam Malaysia
building USIM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universit Sains Islam i Malaysia
content_source USIM Institutional Repository
url_provider http://ddms.usim.edu.my/
language en_US
topic Cross Sectional Dependence
Outliers
Panel Data
Robust Method
spellingShingle Cross Sectional Dependence
Outliers
Panel Data
Robust Method
N.S.M., Shariff,
N.A., Hamzah,
Robust estimation procedure in panel data model
description The panel data modeling has received a great attention in econometric research recently. This is due to the availability of data sources and the interest to study cross sections of individuals observed over time. However, the problems may arise in modeling the panel in the presence of cross sectional dependence and outliers. Even though there are few methods that take into consideration the presence of cross sectional dependence in the panel, the methods may provide inconsistent parameter estimates and inferences when outliers occur in the panel. As such, an alternative method that is robust to outliers and cross sectional dependence is introduced in this paper. The properties and construction of the confidence interval for the parameter estimates are also considered in this paper. The robustness of the procedure is investigated and comparisons are made to the existing method via simulation studies. Our results have shown that robust approach is able to produce an accurate and reliable parameter estimates under the condition considered. © 2014 AIP Publishing LLC.
format Conference Paper
author N.S.M., Shariff,
N.A., Hamzah,
author_facet N.S.M., Shariff,
N.A., Hamzah,
author_sort N.S.M., Shariff,
title Robust estimation procedure in panel data model
title_short Robust estimation procedure in panel data model
title_full Robust estimation procedure in panel data model
title_fullStr Robust estimation procedure in panel data model
title_full_unstemmed Robust estimation procedure in panel data model
title_sort robust estimation procedure in panel data model
publisher American Institute of Physics Inc.
publishDate 2015
url http://ddms.usim.edu.my/handle/123456789/9238
_version_ 1645152569906954240
score 13.222552

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