Comparing Fixed Effects and Covariance Structure Estimators for Panel Data

Mette Ejrnæs and Anders Holm ()

Sociological Methods & Research, 2006, vol. 35, issue 1, 61-83

Abstract: In this article, the authors compare the traditional econometric fixed effect estimator with the maximum likelihood estimator implied by covariance structure models for panel data. Their findings are that the maximum like lipoid estimator is remarkably robust to certain types of misspecifications (e.g., deviation from the assumption of an underlying normal distribution). However, with other types of misspecification, the fixed estimator is pre ferable. Furthermore, the authors suggest that the Hausman specification test may be used as a test of the consistency of the maximum likelihood estimator.

Keywords: panel data; fixed effects estimator; covariance structure estimator; specification test (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0049124106289109 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:somere:v:35:y:2006:i:1:p:61-83

DOI: 10.1177/0049124106289109

Access Statistics for this article

More articles in Sociological Methods & Research
Bibliographic data for series maintained by SAGE Publications ().