l1 regressions: Gini estimators for fixed effects panel data

被引：5

作者：

Ka, Ndene ^{[1
]}

Mussard, Stephane ^{[1
,2
,3
,4
]}

机构：

[1] Univ Montpellier I, Fac Econ, UMR5474 LAMETA, Av Raymond Dugrand,Site Richter CS, F-34960 Montpellier 2, France

[2] Univ Nimes Hosp, CHROME, Nimes, France

[3] Univ Sherbrooke, GREDI, Sherbrooke, PQ J1K 2R1, Canada

[4] LISER Luxembourg, Luxembourg, Luxembourg

来源：

JOURNAL OF APPLIED STATISTICS | 2016年 / 43卷 / 08期

关键词：

Gini; panel; regression; U-statistics;

D O I：

10.1080/02664763.2015.1103707

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Panel data, frequently employed in empirical investigations, provide estimators being strongly biased in the presence of atypical observations. The aim of this work is to propose a l(1) Gini regression for panel data. It is shown that the fixed effects within-group Gini estimator is more robust than the ordinary least squares one when the data are contaminated by outliers. This semi-parametric Gini estimator is proven to be an U-statistics, consequently, it is asymptotically normal.

引用

页码：1436 / 1446

页数：11

共 50 条

[1] Robust estimators for the fixed effects panel data model
Bramati, Maria Caterina
Croux, Christophe
[J]. ECONOMETRICS JOURNAL, 2007, 10 (03): : 521 - 540
[2] Clustering and Standard Error Bias in Fixed Effects Panel Data Regressions
Carlisle E. Moody
Thomas B. Marvell
[J]. Journal of Quantitative Criminology, 2020, 36 : 347 - 369
[3] Clustering and Standard Error Bias in Fixed Effects Panel Data Regressions
Moody, Carlisle E.
Marvell, Thomas B.
[J]. JOURNAL OF QUANTITATIVE CRIMINOLOGY, 2020, 36 (02) : 347 - 369
[4] Comparing fixed effects and covariance structure estimators for panel data
Ejrnaes, Mette
Holm, Anders
[J]. SOCIOLOGICAL METHODS & RESEARCH, 2006, 35 (01) : 61 - 83
[5] Bias corrections for two-step fixed effects panel data estimators
Fernandez-Val, Ivan
Vella, Francis
[J]. JOURNAL OF ECONOMETRICS, 2011, 163 (02) : 144 - 162
[6] SOME PROPERTIES OF L1 ESTIMATORS
GENTLE, JE
SPOSITO, VA
KENNEDY, WJ
[J]. MATHEMATICAL PROGRAMMING, 1977, 12 (01) : 139 - 140
[7] ON MEDIAN POLISH AND L1 ESTIMATORS
SPOSITO, VA
[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 1987, 5 (03) : 155 - 162
[8] Identification problem of GMM estimators for short panel data models with interactive fixed effects
Hayakawa, Kazuhiko
[J]. ECONOMICS LETTERS, 2016, 139 : 22 - 26
[9] Consistency of l1 penalized negative binomial regressions
Xie, Fang
Xiao, Zhijie
[J]. STATISTICS & PROBABILITY LETTERS, 2020, 165
[10] Fixed T dynamic panel data estimators with multifactor errors
Juodis, Arturas
Sarafidis, Vasilis
[J]. ECONOMETRIC REVIEWS, 2018, 37 (08) : 893 - 929

← 1 2 3 4 5 →