@techreport{de8330ccac734aaca555980b416d130b,
title = "One-Step Robust Estimation of Fixed-Effects Panel Data Models",
abstract = "The panel-data regression models are frequently applied to micro-level data, which often suffer from data contamination, erroneous observations, or unobserved heterogeneity. Despite the adverse effects of outliers on classical estimation methods, there are only a few robust estimation methods available for fixed-effect panel data. Aiming at estimation under weak moment conditions, a new estimation approach based on two different data transformation is proposed. Considering several robust estimation methods applied on the transformed data, we derive the finite-sample, robust, and asymptotic properties of the proposed estimators including their breakdown points and asymptotic distribution. The finite-sample performance of the existing and proposed methods is compared by means of Monte Carlo simulations.",
keywords = "breakdown point, fixed effects, panel data, robust estimation",
author = "M. Aquaro and P. Cizek",
note = "Subsequently published in Computational Statistics and Data Analysis (2013) Pagination: 28",
year = "2010",
language = "English",
volume = "2010-110",
series = "CentER Discussion Paper",
publisher = "Econometrics",
type = "WorkingPaper",
institution = "Econometrics",
}