 A Robust Hausman-Taylor EstimatorBadi Baltagi and Georges Bresson No 140, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University Abstract: This paper suggests a robust Hausman and Taylor (1981) estimator, here-after HT, that deals with the possible presence of outliers. This entails two modifications of the classical HT estimator. The first modification uses the Bramati and Croux (2007) robust Within MS estimator instead of the Within estimator in the first stage of the HT estimator. The second modification uses the robust Wagenvoort and Waldmann (2002) two stage generalized MS estimator instead of the 2SLS estimator in the second step of the HT estimator. Monte Carlo simulations show that, in the presence of vertical outliers or bad leverage points, the robust HT estimator yields large gains in MSE as compared to its classical Hausman-Taylor counterpart. We illustrate this robust version of the Hausman-Taylor estimator using an empirical application. Key Words: Bad leverage points, Hausman-Taylor, panel data, two stage generalized MS estimator, vertical outliers. JEL No. C23, C26 Pages: 43 pages Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:140 Access Statistics for this paper More papers in Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University 426 Eggers Hall, Syracuse, New York USA 13244-1020. Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.