Comparing fixed effects and covariance structure estimators for panel data
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Comparing fixed effects and covariance structure estimators for panel data. / Ejrnæs, Mette; Holm, Anders.
In: Sociological Methods & Research, Vol. 35, No. 1, 2006, p. 61-83.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Comparing fixed effects and covariance structure estimators for panel data
AU - Ejrnæs, Mette
AU - Holm, Anders
N1 - JEL Classification: C01
PY - 2006
Y1 - 2006
N2 - 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 like lipoid 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 pre ferable. Furthermore, the authors suggest that the Hausman specification test may be used as a test of the consistency of the maximum likelihood estimator
AB - 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 like lipoid 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 pre ferable. Furthermore, the authors suggest that the Hausman specification test may be used as a test of the consistency of the maximum likelihood estimator
KW - Faculty of Social Sciences
KW - fixed effects estimator
KW - panel data
U2 - 10.1177/0049124106289109
DO - 10.1177/0049124106289109
M3 - Journal article
VL - 35
SP - 61
EP - 83
JO - Sociological Methods and Research
JF - Sociological Methods and Research
SN - 0049-1241
IS - 1
ER -
ID: 313916