Robust estimation and empirical likelihood inference with exponential squared loss for panel data models

Shaomin Li, Kangning Wang and Yanyan Ren

Economics Letters, 2018, vol. 164, issue C, 19-23

Abstract: This paper introduces a robust estimation for panel data models using the exponential squared loss function. We propose the method by constructing the robust empirical likelihood ratio function. The Monte Carlo simulations show that the proposed estimator is robust in the fixed and random effects models.

Keywords: Exponential squared loss; Empirical likelihood; Panel data; Robust estimation (search for similar items in EconPapers)
JEL-codes: C13 C15 C18 C23 C40 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:164:y:2018:i:c:p:19-23

DOI: 10.1016/j.econlet.2017.12.029

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