Detail publikace

Víšek, J. Á. : Estimating regression model with a mixed structure - numerical study.

Autor: prof. RNDr. Jan Ámos Víšek CSc.,
Typ: Články ve sborníku
Rok: 2013
Číslo: 0
ISSN / ISBN:
Publikováno v: Data Analysis 2013, Progressive Mthods of Statistical Data Analysis,160 - 182.
Místo vydání:
Klíčová slova: Robust estimation, regression model, fixed and random effects, Hausman test, numerical study.
JEL kódy:
Citace:
Granty: DYME – Dynamic Models in Economics
Abstrakt: The results of a large numerical study of the
classical and of robust estimators of the model with fixed and
random effects are presented together with the graph of hausman test
of specificity. It reveals that for a low or mild level of
contamination the robustified versions of the classical
within-groups and generalized least squares estimators can work
well. For higher level of contamination, say over 5\%, it is better
to rely on the smoothly robustified OLS, as they give the results
which are closer to the true value that the robustified classical
estimators. One reason is that the robust estimation of location -
which w need for robustified within-group estimator - need not be
easy task to estimate because the ``globl'' level and character of
contamination can significantly differ from the local one within the
groups.

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