Trimmed Mean Group Estimation

Yoonseok Lee and Donggyu Sul ()

A chapter in Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, 2022, vol. 43B, pp 177-202 from Emerald Group Publishing Limited

Abstract: This chapter develops robust panel estimation in the form of trimmed mean group estimation for potentially heterogenous panel regression models. It trims outlying individuals of which the sample variances of regressors are either extremely small or large. The limiting distribution of the trimmed estimator can be obtained in a similar way to the standard mean group (MG) estimator, provided the random coefficients are conditionally homoskedastic. The authors consider two trimming methods. The first one is based on the order statistic of the sample variance of each regressor. The second one is based on the Mahalanobis depth of the sample variances of regressors. The authors apply them to the MG estimation of the two-way fixed effects model with potentially heterogeneous slope parameters and to the common correlated effects regression, and the authors derive limiting distribution of each estimator. As an empirical illustration, the authors consider the effect of police on property crime rates using the US state-level panel data.

Keywords: Trimmed mean group estimator; robust estimator; heterogeneous panel; random coefficient; two-way fixed effects; common correlated effects; C23; C33 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... 1-90532021000043B008
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
Working Paper: Trimmed Mean Group Estimation (2021)
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:eme:aecozz:s0731-90532021000043b008

DOI: 10.1108/S0731-90532021000043B008

Access Statistics for this chapter

More chapters in Advances in Econometrics from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().