Comparing fixed effects and covariance structure estimators for panel data

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Standard

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

Harvard

Ejrnæs, M & Holm, A 2006, 'Comparing fixed effects and covariance structure estimators for panel data', Sociological Methods & Research, vol. 35, no. 1, pp. 61-83. https://doi.org/10.1177/0049124106289109

APA

Ejrnæs, M., & Holm, A. (2006). Comparing fixed effects and covariance structure estimators for panel data. Sociological Methods & Research, 35(1), 61-83. https://doi.org/10.1177/0049124106289109

Vancouver

Ejrnæs M, Holm A. Comparing fixed effects and covariance structure estimators for panel data. Sociological Methods & Research. 2006;35(1):61-83. https://doi.org/10.1177/0049124106289109

Author

Ejrnæs, Mette ; Holm, Anders. / Comparing fixed effects and covariance structure estimators for panel data. In: Sociological Methods & Research. 2006 ; Vol. 35, No. 1. pp. 61-83.

Bibtex

@article{c1291330ad3811dbbee902004c4f4f50,
title = "Comparing fixed effects and covariance structure estimators for panel data",
abstract = "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",
keywords = "Faculty of Social Sciences, fixed effects estimator, panel data",
author = "Mette Ejrn{\ae}s and Anders Holm",
note = "JEL Classification: C01",
year = "2006",
doi = "10.1177/0049124106289109",
language = "English",
volume = "35",
pages = "61--83",
journal = "Sociological Methods and Research",
issn = "0049-1241",
publisher = "SAGE Publications",
number = "1",

}

RIS

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