Robust Linear Static Panel Data Models Using ?-Contamination

Badi Baltagi, Georges Bresson, Anoop Chaturvedi () and Guy Lacroix
Additional contact information
Anoop Chaturvedi: University of Allahabad

No 8661, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: The paper develops a general Bayesian framework for robust linear static panel data models using ?-contamination. A two-step approach is employed to derive the conditional type-II maximum likelihood (ML-II) posterior distribution of the coefficients and individual effects. The ML-II posterior densities are weighted averages of the Bayes estimator under a base prior and the data-dependent empirical Bayes estimator. Two-stage and three stage hierarchy estimators are developed and their finite sample performance is investigated through a series of Monte Carlo experiments. These include standard random effects as well as Mundlak-type, Chamberlain-type and Hausman-Taylor-type models. The simulation results underscore the relatively good performance of the three-stage hierarchy estimator. Within a single theoretical framework, our Bayesian approach encompasses a variety of specifications while conventional methods require separate estimators for each case. We illustrate the performance of our estimator relative to classic panel estimators using data on earnings and crime.

Keywords: ε-contamination; hyper g-priors; type-II maximum likelihood posterior density; panel data; robust Bayesian estimator; three-stage hierarchy (search for similar items in EconPapers)
JEL-codes: C11 C23 C26 (search for similar items in EconPapers)
Pages: 75 pages
Date: 2014-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published - Published in: Journal of Econometrics, 2018, 202(1), 108-123

Downloads: (external link)
https://docs.iza.org/dp8661.pdf (application/pdf)

Related works:
Journal Article: Robust linear static panel data models using ε-contamination (2018)
Working Paper: Robust linear static panel data models using e-contamination (2017)
Working Paper: Robust Linear Static Panel Data Models Using ε-Contamination (2017)
Working Paper: Robust linear static panel data models using ε-contamination (2015)
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:iza:izadps:dp8661

Ordering information: This working paper can be ordered from
IZA, Margard Ody, P.O. Box 7240, D-53072 Bonn, Germany

Access Statistics for this paper

More papers in IZA Discussion Papers from Institute of Labor Economics (IZA) IZA, P.O. Box 7240, D-53072 Bonn, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Holger Hinte ().