Cook’s distance measures for panel data models

David Vincent
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David Vincent: David Vincent Economics

London Stata Conference 2022 from Stata Users Group

Abstract: Influential observations in regression analysis, are datapoints whose deletion has a large impact on the estimated coefficients. The usual diagnostics for assessing the influence of each datapoint, are designed for least squares regression and independent observations and are not appropriate when estimating panel data models. ​The purpose of this presentation is to describe a new command cooksd2, which extends the traditional Cook’s (1977) distance measure, to determine the influence of each datapoint when applying the fixed, random and between-effects regression estimators. The approach is based on the framework developed by Christensen, Pearson and Johnson (1992) and also reports the influence of an entire subject or group of datapoints, following the methods described by Banerjee & Frees (1997).

Date: 2022-09-10
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http://repec.org/lsug2022/uk2022_vincent.pdf

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Persistent link: https://EconPapers.repec.org/RePEc:boc:lsug22:03

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