کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5058311 | 1476622 | 2016 | 6 صفحه PDF | دانلود رایگان |
- A Stein-like estimator for linear panel data models is proposed in this paper, asymptotics for this Stein-like estimator is also established.
- We show the asymptotic risk of the Stein-like estimator is strictly smaller than the fixed effects estimator within a local asymptotic framework.
- Monte Carlo simulations confirm the theoretical findings in the paper.
In this paper we follow Hansen (2015a) and propose a Stein-like estimator for linear panel data models. Our estimator takes a weighted average of the fixed effects estimator and the random effects estimator using the weights constructed from Hausman's (1978) testing statistic. We establish the asymptotic distribution of the Stein-like estimator and show its asymptotic risk being strictly smaller than the fixed effects estimator within a local asymptotic framework.
Journal: Economics Letters - Volume 141, April 2016, Pages 156-161