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)
Date: 2017
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.crrep.ca/sites/crrep.ca/files/fichier_publications/crrep-2017-06.pdf (application/pdf)

Related works:
Journal Article: Robust linear static panel data models using ε-contamination (2018)
Working Paper: Robust Linear Static Panel Data Models Using ε-Contamination (2017)
Working Paper: Robust linear static panel data models using ε-contamination (2015)
Working Paper: Robust Linear Static Panel Data Models Using ?-Contamination (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lvl:crrecr:1706

Access Statistics for this paper

More papers in Cahiers de recherche from Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques Contact information at EDIRC.
Bibliographic data for series maintained by Manuel Paradis ().