A Stein-like estimator for linear panel data models

Yun Wang, Yonghui Zhang and Qiankun Zhou

Economics Letters, 2016, vol. 141, issue C, 156-161

Abstract: In this paper we follow Hansen (2015a) and propose a Stein-like estimator for linear panel data models. Our estimator takes a weighted average of the fixed effects estimator and the random effects estimator using the weights constructed from Hausman’s (1978) testing statistic. We establish the asymptotic distribution of the Stein-like estimator and show its asymptotic risk being strictly smaller than the fixed effects estimator within a local asymptotic framework.

Keywords: Asymptotic risk; Fixed effects; Hausman pretest; Panel data; Random effects; Stein estimator (search for similar items in EconPapers)
JEL-codes: C13 C23 C52 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:141:y:2016:i:c:p:156-161

DOI: 10.1016/j.econlet.2016.02.016

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