A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model

Mousa, Amani and Youssef, Ahmed H. and Abonazel, Mohamed R. (2011): A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model. Published in: InterStat Journal , Vol. 2011, No. April, No. 4 : pp. 1-12.

Abstract

A particularly useful approach for analyzing pooled cross sectional and time series data is Swamy's random coefficient panel data (RCPD) model. This paper examines the performance of Swamy's estimators and tests associated with this model by using Monte Carlo simulation. The Monte Carlo study shed some light into how well the Swamy's estimate perform in small, medium, and large samples, in cases when the regression coefficients are fixed, random, and mixed. The Monte Carlo simulation results suggest that the Swamy's estimate perform well in small samples if the coefficients are random and but it does not when regression coefficients are fixed or mixed. But if the samples sizes are medium or large, the Swamy's estimate performs well when the regression coefficients are fixed, random, or mixed.

• Item Type: MPRA Paper
• Language: English
• Keywords: Random Coefficient Panel Data Model, Mixed RCPD Model, Panel Data, Monte Carlo Simulation, Pooling Cross Section and Time Series Data
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; 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; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; 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 > C4 - Econometric and Statistical Methods: Special Topics

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