Robust linear static panel data models using \(\varepsilon\)-contamination
DOI10.1016/j.jeconom.2017.07.002zbMath1378.62141OpenAlexW2259009724MaRDI QIDQ1680195
Guy Lacroix, Georges Bresson, Badi H. Baltagi, Anoop Chaturvedi
Publication date: 23 November 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cirano.qc.ca/files/publications/2015s-30.pdf
panel datarobust Bayesian estimator\(\varepsilon\)-contaminationhyper \(g\)-priorsthree-stage hierarchytype-II maximum likelihood posterior density
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35)
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