Robust parameter estimation for fixed effect panel data model in the presence of heteroscedasticity and high leverage points
In the presence of unknown heteroscedasticity structure and anomalous observations such as High Leverage Points (HLPs), the variance-covariance matrix of the ordinary least squares (OLS) estimator become bias and inconsistent in linear as well as in fixed effect (FE) panel data model. As a remedial...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Academy of Sciences Malaysia
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/82039/1/Robust%20parameter%20estimation%20for%20fixed%20effect%20panel%20data%20model%20in%20the%20presence%20of%20heteroscedasticity%20and%20high%20leverage%20points.pdf http://psasir.upm.edu.my/id/eprint/82039/ https://www.akademisains.gov.my/asmsj/article/robust-parameter-estimation-for-fixed-effect-panel-data-model-in-the-presence-of-heteroscedasticity-and-high-leverage-points-by-robust-method/ |
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http://psasir.upm.edu.my/id/eprint/82039/1/Robust%20parameter%20estimation%20for%20fixed%20effect%20panel%20data%20model%20in%20the%20presence%20of%20heteroscedasticity%20and%20high%20leverage%20points.pdfhttp://psasir.upm.edu.my/id/eprint/82039/
https://www.akademisains.gov.my/asmsj/article/robust-parameter-estimation-for-fixed-effect-panel-data-model-in-the-presence-of-heteroscedasticity-and-high-leverage-points-by-robust-method/