Weighted Average Estimation in Panel Data

Ali Mehrabani () and Aman Ullah
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Ali Mehrabani: Southern Illinois University

No 202209, Working Papers from University of California at Riverside, Department of Economics

Abstract: Mukhtar M. Ali has made many innovative and influential contributions in different areas of economics, finance, econometrics, and statistics. His contributions include developing econometric models to examine the determinants of the demand for casino gaming, investigating the approximate and exact distribution and moments of various econometric estimators and test statistics, and studying the statistical properties of time series based statistics under stationary and non-stationary processes (for example, see Ali and Thalheimer (1983, 2008), Ali (1977, 1979, 1984, 1989), Ali and Sharma (1993, 1996), Tsui and Ali (1992, 2002), Ali and Giaccotto (1982a, 1982b, 1984), Ali and Tiao (1971), and Ali and Silver (1985, 1989), among others). All of these have made significant impact on the profession and have been instrumental in advancing further research in statistics and econometrics. In this paper, we study the approximate rst two moments of two weighted average estimators of the slope parameters in linear panel data models. The weighted average estimators shrink a generalized least squares estimator towards a restricted generalized least squares estimator, where the restrictions represent possible parameter specifications. The averaging weight is inversely proportional to a weighted quadratic loss function. The approximate bias and second moment matrix of the weighted average estimators using the large-sample approximations are provided. We give the conditions under which the weighted average estimators dominate the generalized least squares estimator on the basis of their mean squared errors.

Keywords: Asymptotic approximations; xed-e ects; panel data; random-e ects; Stein-like shrinkage estimator. (search for similar items in EconPapers)
Pages: 32 Pages
Date: 2022-04, Revised 2022-04
New Economics Papers: this item is included in nep-ecm and nep-ore
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https://economics.ucr.edu/repec/ucr/wpaper/202209R.pdf Revised version, 2022 (application/pdf)

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