IDEAS home Printed from https://ideas.repec.org/p/boc/lsug22/03.html
   My bibliography  Save this paper

Cook’s distance measures for panel data models

Author

Listed:
  • David Vincent

    (David Vincent Economics)

Abstract

Influential observations in regression analysis, are datapoints whose deletion has a large impact on the estimated coefficients. The usual diagnostics for assessing the influence of each datapoint, are designed for least squares regression and independent observations and are not appropriate when estimating panel data models. ​The purpose of this presentation is to describe a new command cooksd2, which extends the traditional Cook’s (1977) distance measure, to determine the influence of each datapoint when applying the fixed, random and between-effects regression estimators. The approach is based on the framework developed by Christensen, Pearson and Johnson (1992) and also reports the influence of an entire subject or group of datapoints, following the methods described by Banerjee & Frees (1997).

Suggested Citation

  • David Vincent, 2022. "Cook’s distance measures for panel data models," London Stata Conference 2022 03, Stata Users Group.
    • Handle: RePEc:boc:lsug22:03
    as

    Download full text from publisher

    File URL: http://repec.org/lsug2022/uk2022_vincent.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:lsug22:03. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/stataea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.