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| Robust Estimation of Parameter with One Half Rotating Panel |
| Weiguo Wang, Xin Liu |
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Abstract In this paper, based on stationary panel data model with one-way
error component, FGLS estimation with one half rotating panel is
investigated. It has been found that standard errors of FGLS
estimators lead to extreme overconfidence. Therefore, based on FGLS
estimation and PCSEs, a new estimation method is proposed to correct
exorbitant overconfidence and make the estimation of parameters
confident. Under the assumed stationary conditions, we prove the
consistency and the asymptotic normality. Monte Carlo simulation is
conducted to analyze finite sample properties. Compare to FGLS
estimation, the method proposed in the paper can decrease the
overconfidences on the premise of remaining A-Bias and MSE the same
basically.
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| DOI:10.12733/jics20105750 |
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