ROBUST PARAMETER ESTIMATION FOR RANDOM EFFECT PANEL DATA MODEL IN THE PRESENCE OF HETEROSCEDASTICITY AND INFLUENTIAL OBSERVATIONS

Authors

Keywords:

Heteroscedasticity; Influential observations; Panel Data; Random Effect Model; RHCCM; Weighted Least Square

Abstract

Panel data estimators can strongly be biased and inconsistent in the presence of heteroscedasticity and anomalous observations called influential observations (IOs) in Random effect (RE) panel data model. The existing methods (LWS, WLSF, WLSDRGP) address only the problem of IO but fail to remedy the combine problem of heteroscedasticity and IOs.  Therefore, in this research we develop a method that will remedy the combine problem of heteroscedasticity and IOs based on robust heteroscedasticity consistent covariance matrix (RHCCM) estimator and fast improvised influential distance (FIID) weighting method denoted by WLSFIID. The simulation and numerical evidences show that our proposed estimation method is more efficient than the existing methods by providing smallest bias, and smallest standard error of HC4 and HC5.

Dimensions

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Published

13-08-2021

How to Cite

ROBUST PARAMETER ESTIMATION FOR RANDOM EFFECT PANEL DATA MODEL IN THE PRESENCE OF HETEROSCEDASTICITY AND INFLUENTIAL OBSERVATIONS. (2021). FUDMA JOURNAL OF SCIENCES, 4(4), 561-569. https://doi.org/10.33003/fjs-2020-0404-689

Issue

Vol. 4 No. 4 (2020): FUDMA Journal of Sciences - Vol. 4 No. 4

Section

Research Articles
Copyright & Licensing

FUDMA Journal of Sciences

How to Cite

ROBUST PARAMETER ESTIMATION FOR RANDOM EFFECT PANEL DATA MODEL IN THE PRESENCE OF HETEROSCEDASTICITY AND INFLUENTIAL OBSERVATIONS. (2021). FUDMA JOURNAL OF SCIENCES, 4(4), 561-569. https://doi.org/10.33003/fjs-2020-0404-689

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