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. 112.

PDF
MPRA_paper_49768.pdf Download (676kB)  Preview 
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 

Original Title:  A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model 
English Title:  A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model 
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  TimeSeries 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 ; Spatiotemporal Models C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics 
Item ID:  49768 
Depositing User:  Dr. Mohamed R. Abonazel 
Date Deposited:  12 Sep 2013 16:54 
Last Modified:  28 Sep 2019 17:13 
References:  1. Baltagi, B. (2008), Econometric Analysis of Panel Data. 4th ed., John Wiley and Sons Ltd. 2. Carlson, R. (1978), “Seemingly Unrelated Regression and the Demand for Automobiles of Different Sizes.”, Journal of Business, Vol. 51, pp. 243262. 3. Dielman, T. E. (1980), Pooled Data for Financial Markets (Research for Business Decision Series). Ann Arbor: UMI Research Press. 4. Gendreau, B. and Humphrey, D. (1980), “Feedback Effects in the Market Regulation of Bank Leverage: A TimeSeries and CrossSection Analysis.”, Review of economic Statistics, Vol. 62, pp. 276280. 5. Hsiao, C. (1985), “Benefits and Limitations of Panel Data.”, Econometric Review, Vol. 4, pp. 121174. 6. Hsiao, C. (2003), Analysis of Panel Data. 2th ed., Cambridge: Cambridge University Press. 7. Hsiao, C. and Pesaran, M. H. (2004), “Random Coefficient Panel Data Models.”, IEPR Working Paper 04.2, University of Southern California. 8. Kelejian, H. H. and Stephan, S. W. (1983), “Inference in Random Coefficient Panel Data Models: A Correction and Clarification of the Literature.”, International Economic Review, Vol. 24, pp. 249254. 9. Murtazashvili, I. and Wooldridge, J. M. (2008), “Fixed Effects Instrumental Variables Estimation in Correlated Random Coefficient Panel Data Models.”, Journal of Econometrics, Vol. 142, pp. 539552. 10. Rao, C. R. and Mitra, S. (1971), Generalized Inverse of Matrices and Its Applications. John Wiley and Sons Ltd. 11. Swamy, P. (1970), “Efficient Inference in a Random Coefficient Regression Model.”, Econometrica, Vol. 38, pp. 311323. 12. Swamy, P. (1971), Statistical Inference in Random Coefficient Regression Models. New York: SpringerVerlag. 13. Swamy, P. (1973), “Criteria, Constraints, and Multicollinearity in Random Coefficient Regression Model.”, Annals of Economic and Social Measurement, Vol. 2, pp. 429450. 14. Swamy, P. (1974), Linear Models with Random Coefficients. in Frontiers in Econometrics (Ed. P. Zarembka).”, New York: Academic Press, Inc., pp. 143168. 15. Zellner, A. (1962), “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests of Aggregation Bias.”, J.A.S.A., Vol. 57, pp. 348368. 16. Zellner, A. (1963), “Estimators for Seemingly Unrelated Regressions Equations: Some Exact Finite Sample Results.”, J.A.S.A., Vol. 58, pp. 977992. 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/49768 