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Robust estimation and empirical likelihood inference with exponential squared loss for panel data models

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  • Li, Shaomin
  • Wang, Kangning
  • Ren, Yanyan

Abstract

This paper introduces a robust estimation for panel data models using the exponential squared loss function. We propose the method by constructing the robust empirical likelihood ratio function. The Monte Carlo simulations show that the proposed estimator is robust in the fixed and random effects models.

Suggested Citation

  • Li, Shaomin & Wang, Kangning & Ren, Yanyan, 2018. "Robust estimation and empirical likelihood inference with exponential squared loss for panel data models," Economics Letters, Elsevier, vol. 164(C), pages 19-23.
    • Handle: RePEc:eee:ecolet:v:164:y:2018:i:c:p:19-23
    DOI: 10.1016/j.econlet.2017.12.029
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    References listed on IDEAS

    as
    1. He, Xuming & Fung, Wing K. & Zhu, Zhongyi, 2005. "Robust Estimation in Generalized Partial Linear Models for Clustered Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1176-1184, December.
    2. Baltagi, Badi H., 2015. "The Oxford Handbook of Panel Data," OUP Catalogue, Oxford University Press, number 9780199940042.
    3. Badi H. Baltagi & Georges Bresson, 2012. "A Robust Hausman–Taylor Estimator," Advances in Econometrics, in: Essays in Honor of Jerry Hausman, pages 175-214, Emerald Group Publishing Limited.
    4. You-Gan Wang & Xu Lin & Min Zhu, 2005. "Robust Estimating Functions and Bias Correction for Longitudinal Data Analysis," Biometrics, The International Biometric Society, vol. 61(3), pages 684-691, September.
    5. Qin, Guoyou & Bai, Yang & Zhu, Zhongyi, 2012. "Robust empirical likelihood inference for generalized partial linear models with longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 32-44.
    6. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    7. Qin, Guoyou & Bai, Yang & Zhu, Zhongyi, 2009. "Robust empirical likelihood inference for longitudinal data," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2101-2108, October.
    8. Xueqin Wang & Yunlu Jiang & Mian Huang & Heping Zhang, 2013. "Robust Variable Selection With Exponential Squared Loss," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(502), pages 632-643, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Exponential squared loss; Empirical likelihood; Panel data; Robust estimation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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