Estimating regression model with a mixed structure - numerical study
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10195483" target="_blank" >RIV/00216208:11230/13:10195483 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Estimating regression model with a mixed structure - numerical study
Original language description
The results of a large numerical study of the classical and of robust estimators of the model with fixed and random effects are presented together with the graph of hausman test of specificity. It reveals that for a low or mild level of contamination therobustified versions of the classical within-groups and generalized least squares estimators can work well. For higher level of contamination, say over 5%, it is better to rely on the smoothly robustified OLS, as they give the results which are closerto the true value that the robustified classical estimators. One reason is that the robust estimation of location - which w need for robustified within-group estimator - need not be easy task to estimate because the ''global'' level and character of contamination can significantly differ from the local one within the groups.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Data Analysis 2013, Pro-gressive Methods of Statistical Data Analysis and Modelling for Research and Technical Practice
ISBN
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ISSN
1805-6903
e-ISSN
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Number of pages
23
Pages from-to
160-182
Publisher name
Trylobite
Place of publication
Pardubice
Event location
Pardubice
Event date
Nov 19, 2013
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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