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Robust linear static panel data models using e-contamination

Badi H. Baltagia, Georges Bresson (), Anoop Chaturvedi () and Guy Lacroix ()

Cahiers de recherche from Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques

Abstract: The paper develops a general Bayesian framework for robust linear static panel data models using e-contamination. A two-step approach is employed to derive the conditional type-II maximum likelihood (ML-II) posterior distribution of the coeffcients 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.

Keywords: e-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)
New Economics Papers: this item is included in nep-ecm
Date: 2017
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Related works:
Journal Article: Robust linear static panel data models using ε-contamination (2018) Downloads
Working Paper: Robust Linear Static Panel Data Models Using ε-Contamination (2017) Downloads
Working Paper: Robust linear static panel data models using ε-contamination (2015) Downloads
Working Paper: Robust Linear Static Panel Data Models Using ?-Contamination (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:lvl:crrecr:1706

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