One-Step Robust Estimation of Fixed-Effects Panel Data Models

M. Aquaro, P. Cizek

Research output: Working paperDiscussion paperOther research output

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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.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages28
Volume2010-110
Publication statusPublished - 2010

Publication series

NameCentER Discussion Paper
Volume2010-110

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Data structures
Contamination

Keywords

  • breakdown point
  • fixed effects
  • panel data
  • robust estimation

Cite this

Aquaro, M., & Cizek, P. (2010). One-Step Robust Estimation of Fixed-Effects Panel Data Models. (CentER Discussion Paper; Vol. 2010-110). Tilburg: Econometrics.
Aquaro, M. ; Cizek, P. / One-Step Robust Estimation of Fixed-Effects Panel Data Models. Tilburg : Econometrics, 2010. (CentER Discussion Paper).
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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.",
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Aquaro, M & Cizek, P 2010 'One-Step Robust Estimation of Fixed-Effects Panel Data Models' CentER Discussion Paper, vol. 2010-110, Econometrics, Tilburg.

One-Step Robust Estimation of Fixed-Effects Panel Data Models. / Aquaro, M.; Cizek, P.

Tilburg : Econometrics, 2010. (CentER Discussion Paper; Vol. 2010-110).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - One-Step Robust Estimation of Fixed-Effects Panel Data Models

AU - Aquaro, M.

AU - Cizek, P.

N1 - Subsequently published in Computational Statistics and Data Analysis (2013) Pagination: 28

PY - 2010

Y1 - 2010

N2 - 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.

AB - 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.

KW - breakdown point

KW - fixed effects

KW - panel data

KW - robust estimation

M3 - Discussion paper

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BT - One-Step Robust Estimation of Fixed-Effects Panel Data Models

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Aquaro M, Cizek P. One-Step Robust Estimation of Fixed-Effects Panel Data Models. Tilburg: Econometrics. 2010. (CentER Discussion Paper).