Robust Within Group Estimator for Fixed effect Panel Data.

Shelan Saied Ismaeel; Habshah Midi

Author(s)

Shelan Saied Ismaeel Faculty of Science and Institute for Mathematical Research, Universiti Putra Malaysia, 43400 Serdang, Selangor, Malaysia

Habshah Midi Department of Mathematics, Faculty of Science University of Zakho, Iraq

Abstract

In the presence of outliers, panel data estimators can be extremely biased. In this work we used mm-centering to provide robust solutions to the Within Group parameter estimates. The main contribution of this article is to propose a new version of the Generalized M-estimator (GM) that provides good resistance against bad leverage points. The advantage of this method over the existing methods is that it only minimizes the bad leverage points and outliers. The good leverage points are not down weighted, and this increases the efficiency of this estimator. The effectiveness of the proposed estimator is investigated using real and simulated data sets.

Publication Details

Page(s) 297-310

DOI DOI not available

Published Journal: Pakistan Journal of Statistics, Volume: 34, Issue: 4, Year: 2018

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