Estimating the Model with Fixed and Random Effects by a Robust Method
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10312391" target="_blank" >RIV/00216208:11230/15:10312391 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s11009-014-9432-5" target="_blank" >http://dx.doi.org/10.1007/s11009-014-9432-5</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11009-014-9432-5" target="_blank" >10.1007/s11009-014-9432-5</a>
Alternative languages
Result language
angličtina
Original language name
Estimating the Model with Fixed and Random Effects by a Robust Method
Original language description
Regression model with fixed and random effects estimated by modified versions of the Ordinary Least Squares (OLS) is a standard tool of panel data analysis. However, it is vulnerable to the bad effects of influential observations (contamination and/or atypical observations). The paper offers robustified versions of the classical methods for this framework. The robustification is carried out by the same idea which was employed when robustifying OLS, it is the idea of weighting down the large order statistics of squared residuals. In contrast to the approach based on the M-estimators this approach does not need the studentization of residuals to reach the scale- and regression-equivariance of estimator in question. Moreover, such approach is not vulnerable with respect the inliers. The numerical study reveals the reliability of the respective algorithm. The results of this study were collected in a file which is possible to find on web, address is given below. Patterns of these results w
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA13-01930S" target="_blank" >GA13-01930S: Robust methods for nonstandard situations, their diagnostics and implementations</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Methodology and Computing in Applied Probability
ISSN
1387-5841
e-ISSN
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Volume of the periodical
17
Issue of the periodical within the volume
4
Country of publishing house
US - UNITED STATES
Number of pages
16
Pages from-to
999-1014
UT code for WoS article
000365182300011
EID of the result in the Scopus database
2-s2.0-84947488277