Summary 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.
Description
Robust estimators for the fixed effects panel data model - Bramati - 2007 - The Econometrics Journal - Wiley Online Library
%0 Journal Article
%1 caterina2007robust
%A Bramati, Maria Caterina
%A Croux, Christophe
%D 2007
%I Blackwell Publishing Ltd
%J Econometrics Journal
%K panel regression robust statistics
%N 3
%P 521--540
%R 10.1111/j.1368-423X.2007.00220.x
%T Robust estimators for the fixed effects panel data model
%U http://dx.doi.org/10.1111/j.1368-423X.2007.00220.x
%V 10
%X Summary 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.
@article{caterina2007robust,
abstract = {Summary 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.},
added-at = {2010-11-08T17:34:00.000+0100},
author = {Bramati, Maria Caterina and Croux, Christophe},
biburl = {https://www.bibsonomy.org/bibtex/2731a88649ab3653682c1ea0cd20a093a/vivion},
description = {Robust estimators for the fixed effects panel data model - Bramati - 2007 - The Econometrics Journal - Wiley Online Library},
doi = {10.1111/j.1368-423X.2007.00220.x},
interhash = {b9449c78ad72d0db57dd6f23caa1ae42},
intrahash = {731a88649ab3653682c1ea0cd20a093a},
issn = {1368423X},
journal = {Econometrics Journal},
keywords = {panel regression robust statistics},
number = 3,
pages = {521--540},
publisher = {Blackwell Publishing Ltd},
timestamp = {2010-11-08T17:34:00.000+0100},
title = {Robust estimators for the fixed effects panel data model},
url = {http://dx.doi.org/10.1111/j.1368-423X.2007.00220.x},
volume = 10,
year = 2007
}