A Comparative Study for Estimation Parameters in Panel Data Model

Youssef, Ahmed H. and Abonazel, Mohamed R. (2009): A Comparative Study for Estimation Parameters in Panel Data Model. Published in: InterStat Journal , Vol. 2009, No. May, No. 2 (9 May 2009): pp. 1-17.

Abstract

This paper examines the panel data models when the regression coefficients are fixed, random, and mixed, and proposed the different estimators for this model. We used the Mote Carlo simulation for making comparisons between the behavior of several estimation methods, such as Random Coefficient Regression (RCR), Classical Pooling (CP), and Mean Group (MG) estimators, in the three cases for regression coefficients. The Monte Carlo simulation results suggest that the RCR estimators perform well in small samples if the coefficients are random. While CP estimators perform well in the case of fixed model only. But the MG estimators perform well if the coefficients are random or fixed.

• Item Type: MPRA Paper
• Language: English
• Keywords: Panel Data Model, Random Coefficient Regression Model, Mixed RCR Model, Monte Carlo Simulation, Pooling Cross Section and Time Series Data, Mean Group Estimators, Classical Pooling Estimators.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling

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