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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| Format: | Article |
| Language: | English |
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Academy of Sciences Malaysia
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/82039/ 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 |
| _version_ | 1848859223730946048 |
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| author | Sani, Muhammad Midi, Habshah Arasan, Jayanthi |
| author_facet | Sani, Muhammad Midi, Habshah Arasan, Jayanthi |
| author_sort | Sani, Muhammad |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | 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 measure, we propose Robust Heteroscedasticity Consistent Covariance Matrix (RHCCM) estimator based on Weighted Least Square in panel data model. In the proposed methods, weights are determined from HLPs detection methods so that the effect of HLPs can be minimized by assigning lower weights to HLPs. The numerical examples and simulation results indicate that the proposed RHCCM based on Fast Modified generalized Residuals (FMGt) offers substantial improvement over some existing estimators. |
| first_indexed | 2025-11-15T12:25:56Z |
| format | Article |
| id | upm-82039 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T12:25:56Z |
| publishDate | 2019 |
| publisher | Academy of Sciences Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-820392021-09-08T02:06:47Z http://psasir.upm.edu.my/id/eprint/82039/ Robust parameter estimation for fixed effect panel data model in the presence of heteroscedasticity and high leverage points Sani, Muhammad Midi, Habshah Arasan, Jayanthi 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 measure, we propose Robust Heteroscedasticity Consistent Covariance Matrix (RHCCM) estimator based on Weighted Least Square in panel data model. In the proposed methods, weights are determined from HLPs detection methods so that the effect of HLPs can be minimized by assigning lower weights to HLPs. The numerical examples and simulation results indicate that the proposed RHCCM based on Fast Modified generalized Residuals (FMGt) offers substantial improvement over some existing estimators. Academy of Sciences Malaysia 2019 Article PeerReviewed text en 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 Sani, Muhammad and Midi, Habshah and Arasan, Jayanthi (2019) Robust parameter estimation for fixed effect panel data model in the presence of heteroscedasticity and high leverage points. ASM Science Journal, 12 (spec. 1). pp. 227-238. ISSN 1823-6782 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/ |
| spellingShingle | Sani, Muhammad Midi, Habshah Arasan, Jayanthi Robust parameter estimation for fixed effect panel data model in the presence of heteroscedasticity and high leverage points |
| title | Robust parameter estimation for fixed effect panel data model in the presence of heteroscedasticity and high leverage points |
| title_full | Robust parameter estimation for fixed effect panel data model in the presence of heteroscedasticity and high leverage points |
| title_fullStr | Robust parameter estimation for fixed effect panel data model in the presence of heteroscedasticity and high leverage points |
| title_full_unstemmed | Robust parameter estimation for fixed effect panel data model in the presence of heteroscedasticity and high leverage points |
| title_short | Robust parameter estimation for fixed effect panel data model in the presence of heteroscedasticity and high leverage points |
| title_sort | robust parameter estimation for fixed effect panel data model in the presence of heteroscedasticity and high leverage points |
| url | http://psasir.upm.edu.my/id/eprint/82039/ http://psasir.upm.edu.my/id/eprint/82039/ 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 |