Comparing fixed effects and covariance structure estimators for panel data

Mette Ejrnæs

doi:10.1177/0049124106289109

Comparing fixed effects and covariance structure estimators for panel data

2006-08-01

4

PRE

AI

DOI：10.1177/0049124106289109

原文链接

原文求助

摘要

En 中文

In this article, the authors compare the traditional econometric fixed effect estimator with the maximum likelihood estimator implied by covariance structure models for panel data. Their findings are that the maximum likelihood estimator is remarkably robust to certain types of misspecifications (e.g., deviation from the assumption of an underlying normal distribution). However, with other types of misspecification, the fixed estimator is preferable. Furthermore, the authors suggest that the Hausman specification test may be used as a test of the consistency of the maximum likelihood estimator.

Keyword:

panel data

fixed effects estimator

covariance structure estimator

specification test

Comparing fixed effects and covariance structure estimators for panel data

摘要

AI总结

期刊

机构

引用论文