The applications of robust estimation in fixed effect panel data
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 provi...
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my-unisza-ir.13722020-11-12T07:55:16Z http://eprints.unisza.edu.my/1372/ The applications of robust estimation in fixed effect panel data Nor Mazlina, Abu Bakar@Harun Habshah, Midi H Social Sciences (General) HB Economic Theory HG Finance 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). 2018 Conference or Workshop Item NonPeerReviewed text en http://eprints.unisza.edu.my/1372/1/FH03-FESP-19-22911.pdf 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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H Social Sciences (General) HB Economic Theory HG Finance Nor Mazlina, Abu Bakar@Harun Habshah, Midi The applications of robust estimation in fixed effect panel data |
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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). |
format |
Conference or Workshop Item |
author |
Nor Mazlina, Abu Bakar@Harun Habshah, Midi |
author_facet |
Nor Mazlina, Abu Bakar@Harun Habshah, Midi |
author_sort |
Nor Mazlina, Abu Bakar@Harun |
title |
The applications of robust estimation in fixed effect panel data |
title_short |
The applications of robust estimation in fixed effect panel data |
title_full |
The applications of robust estimation in fixed effect panel data |
title_fullStr |
The applications of robust estimation in fixed effect panel data |
title_full_unstemmed |
The applications of robust estimation in fixed effect panel data |
title_sort |
applications of robust estimation in fixed effect panel data |
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2018 |
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http://eprints.unisza.edu.my/1372/1/FH03-FESP-19-22911.pdf http://eprints.unisza.edu.my/1372/ |
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