The applications of robust estimation in fixed effect panel data

Nor Mazlina, Abu Bakar@Harun and Habshah, Midi (2018) The applications of robust estimation in fixed effect panel data. In: The 1st Aceh Global Conference, 17 Oct 2018, Banda Aceh, Aceh.

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Abstract

High leverage points (HLPs) are known to have significant effects on parameter estimation of linear fixed effect regression. Their presence causes panel data to become heavily contaminated which in turn leads to biasness and wrong analysis. Thus, robust regression estimators are introduced to provide resistant estimates towards HLPs. In this study, two Robust Within Group (RW) estimators are applied to a few economics and finance real world data. The study is aimed to estimate the usefulness and efficiency of robust methods in contaminated panel data. Results show the advantage of using robust estimation to reduce the influence of HLPs on panel data over the Ordinary Least Square (OLS).

Item Type: Conference or Workshop Item (Paper)
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Faculty of Business and Management
Depositing User: Muhammad Akmal Azhar
Date Deposited: 12 Nov 2020 07:55
Last Modified: 12 Nov 2020 07:55
URI: http://eprints.unisza.edu.my/id/eprint/1372

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