Robust estimation of panel data regression models and applications

Ai-bing Ji, Bo-wen Wei and Lan-ying Xu

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 21, 7647-7659

Abstract: The common parameter estimation methods of panel data linear model include least square dummy variable estimation, two-stage least square estimation, quasi-maximum likelihood estimation and generalized moment estimation. However, these estimation methods are not robust and are easily affected by outliers. Firstly, this paper extends support vector regression algorithm to fit several parallel super-plane simultaneously and provide a novel robust estimation of fixed-effect panel data linear model; then using the kernel trick, a robust estimation for fixed effect panel data nonlinear model is introduced. Finally, the proposed model (linear or nonlinear) is applied in forecasting air quality index of the cities of Jing-Jin-Ji district in China. Experiments shows that our proposed model are robust and have good generalization performance.

Date: 2023
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DOI: 10.1080/03610926.2022.2050403

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