Robust Estimation of Linear Fixed Effects Panel Data Models with an Application to the Exporter Productivity Premium
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In: Jahrbücher für Nationalökonomie und Statistik, Vol. 231, No. 4, 08.2011, p. 546-557.
Research output: Journal contributions › Journal articles › Research › peer-review
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TY - JOUR
T1 - Robust Estimation of Linear Fixed Effects Panel Data Models with an Application to the Exporter Productivity Premium
AU - Verardi, Vincenzo
AU - Wagner, Joachim
PY - 2011/8
Y1 - 2011/8
N2 - In empirical studies often the values of some variables for some observations are much larger or smaller than the values for the other observations in the sample. These extreme observations, or outliers, often have a large impact on the results of statistical analyses. Conclusions based on a sample with and without these units may differ drastically. While applied researchers are usually aware of this the detection of outliers and their appropriate treatment is often dealt with in a rather sloppy manner. One reason for this habit seems to be the lack of availability of appropriate canned programs for robust methods that can be used in the presence of outliers. Our paper intents to improve on this situation by presenting a highly robust method for estimation of the popular linear fixed effects panel data model and to supply Stata code for it. In an application from the field of the micro-econometrics of international firm activities we demonstrate that outliers can indeed drive results.
AB - In empirical studies often the values of some variables for some observations are much larger or smaller than the values for the other observations in the sample. These extreme observations, or outliers, often have a large impact on the results of statistical analyses. Conclusions based on a sample with and without these units may differ drastically. While applied researchers are usually aware of this the detection of outliers and their appropriate treatment is often dealt with in a rather sloppy manner. One reason for this habit seems to be the lack of availability of appropriate canned programs for robust methods that can be used in the presence of outliers. Our paper intents to improve on this situation by presenting a highly robust method for estimation of the popular linear fixed effects panel data model and to supply Stata code for it. In an application from the field of the micro-econometrics of international firm activities we demonstrate that outliers can indeed drive results.
KW - Economics, empirical/statistics
KW - robust estimation
KW - panel data
KW - outliers
KW - Stata
KW - Exporter productivity premium
KW - Stata
KW - outlier
KW - panel data
KW - robust estimation
KW - Exporter productivity premium
UR - http://www.scopus.com/inward/record.url?scp=80052233727&partnerID=8YFLogxK
U2 - 10.1515/jbnst-2011-0407
DO - 10.1515/jbnst-2011-0407
M3 - Journal articles
VL - 231
SP - 546
EP - 557
JO - Jahrbücher für Nationalökonomie und Statistik
JF - Jahrbücher für Nationalökonomie und Statistik
SN - 0021-4027
IS - 4
ER -