Robust estimation for linear panel data models.

Abstract:

:In different fields of applications including, but not limited to, behavioral, environmental, medical sciences, and econometrics, the use of panel data regression models has become increasingly popular as a general framework for making meaningful statistical inferences. However, when the ordinary least squares (OLS) method is used to estimate the model parameters, presence of outliers may significantly alter the adequacy of such models by producing biased and inefficient estimates. In this work, we propose a new, weighted likelihood based robust estimation procedure for linear panel data models with fixed and random effects. The finite sample performances of the proposed estimators have been illustrated through an extensive simulation study as well as with an application to blood pressure dataset. Our thorough study demonstrates that the proposed estimators show significantly better performances over the traditional methods in the presence of outliers and produce competitive results to the OLS based estimates when no outliers are present in the dataset.

journal_name

Stat Med

journal_title

Statistics in medicine

authors

Hamiye Beyaztas B,Bandyopadhyay S

doi

10.1002/sim.8732

subject

Has Abstract

pub_date

2020-12-20 00:00:00

pages

4421-4438

issue

29

eissn

0277-6715

issn

1097-0258

journal_volume

39

pub_type

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