Robust estimators for the fixed effects panel data model
M. Bramati, and C. Croux. The Econometrics Journal, 10 (3):
pp. 521-540(2007)
Abstract
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
JSTOR: The Econometrics Journal, Vol. 10, No. 3 (2007), pp. 521-540
%0 Journal Article
%1 2007
%A Bramati, Maria Caterina
%A Croux, Christophe
%D 2007
%I Wiley on behalf of the Royal Economic Society
%J The Econometrics Journal
%K fixed panel r robust statistics
%N 3
%P pp. 521-540
%T Robust estimators for the fixed effects panel data model
%U http://www.jstor.org/stable/23126789
%V 10
%X 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.