Estimating regression model with a mixed structure - numerical study

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Estimating regression model with a mixed structure - numerical study

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Estimating regression model with a mixed structure - numerical study

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

—

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Data Analysis 2013, Pro-gressive Methods of Statistical Data Analysis and Modelling for Research and Technical Practice

ISBN

—

ISSN

1805-6903

e-ISSN

—

Počet stran výsledku

23

Strana od-do

160-182

Název nakladatele

Trylobite

Místo vydání

Pardubice

Místo konání akce

Pardubice

Datum konání akce

19. 11. 2013

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

—