Estimation for the multi-way error components model with ill-conditioned panel data
Ill-posed problems resulting from limited, partial or incomplete sample information have occurred frequently in econometric practice. The traditional methods of information recovery may cause the estimates highly unstable with low precision, known as ill-conditioned problems. In this paper, we propo...
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| Published in | Journal of the Korean Statistical Society Vol. 46; no. 1; pp. 28 - 44 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Singapore
Elsevier B.V
01.03.2017
Springer Singapore 한국통계학회 |
| Subjects | |
| Online Access | Get full text |
| ISSN | 1226-3192 2005-2863 |
| DOI | 10.1016/j.jkss.2016.05.008 |
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| Abstract | Ill-posed problems resulting from limited, partial or incomplete sample information have occurred frequently in econometric practice. The traditional methods of information recovery may cause the estimates highly unstable with low precision, known as ill-conditioned problems. In this paper, we propose a dual generalized maximum entropy estimator for the multi-way error components model with ill-conditioned panel data, based on an unconstrained dual Lagrange multiplier method. The numerical results for the panel data regression model with highly correlated and endogeneous covariates are in favor of our dual generalized maximum entropy estimation method in terms of quality of estimates. |
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| AbstractList | Ill-posed problems resulting from limited, partial or incomplete sample information have occurred frequently in econometric practice. The traditional methods of information recovery may cause the estimates highly unstable with low precision, known as ill-conditioned problems. In this paper, we propose a dual generalized maximum entropy estimator for the multi-way error components model with ill-conditioned panel data, based on an unconstrained dual Lagrange multiplier method. The numerical results for the panel data regression model with highly correlated and endogeneous covariates are in favor of our dual generalized maximum entropy estimation method in terms of quality of estimates. Ill-posed problems resulting from limited, partial or incomplete sample information have occurred frequently in econometric practice. The traditional methods of information recovery may cause the estimates highly unstable with low precision, known as ill-conditioned problems. In this paper, we propose a dual generalized maximum entropy estimator for the multi-way error components model with ill-conditioned panel data, based on an unconstrained dual Lagrange multiplier method. The numerical results for the panel data regression model with highly correlated and endogeneous covariates are in favor of our dual generalized maximum entropy estimation method in terms of quality of estimates. KCI Citation Count: 2 |
| Author | Cheon, Sooyoung Lee, Jaejun |
| Author_xml | – sequence: 1 givenname: Jaejun surname: Lee fullname: Lee, Jaejun email: jjlee@kida.re.kr organization: Center for Military Planning, Korea Institute for Defense Analyses, Seoul 02455, South Korea – sequence: 2 givenname: Sooyoung surname: Cheon fullname: Cheon, Sooyoung email: scheon@korea.ac.kr organization: Department of Applied Statistics, Korea University, 2511 Sejong-ro, Sejong-city, 30019, South Korea |
| BackLink | https://www.kci.go.kr/kciportal/ci/sereArticleSearch/ciSereArtiView.kci?sereArticleSearchBean.artiId=ART002240719$$DAccess content in National Research Foundation of Korea (NRF) |
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| CitedBy_id | crossref_primary_10_2174_1872212113666190110124551 crossref_primary_10_1177_1729881419872058 |
| Cites_doi | 10.5351/KJAS.2006.19.3.521 10.1017/CBO9780511754203 10.2307/1909405 10.1016/S0304-4076(99)00008-1 10.2307/2291679 10.1016/0304-4076(81)90057-9 10.2307/1913350 10.1002/j.1538-7305.1948.tb01338.x 10.2307/1912775 10.5351/CSAM.2014.21.5.395 10.1016/S0304-4076(03)00120-9 10.1103/PhysRev.108.171 10.1016/0304-4076(89)90066-3 10.1016/0378-3758(95)00033-X 10.1016/S0304-4076(97)00006-7 10.1016/S0304-4076(00)00089-0 10.1081/ETC-120014347 10.2307/2109978 10.1137/0722003 10.2307/2525492 10.1103/PhysRev.106.620 |
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| Keywords | secondary Ill-conditioned problems Panel data Collinearity Dual generalized maximum entropy Endogeneity Error components model primary primary 62J05 secondary 91B82 |
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adiscrete time-discrete data stochastic process publication-title: Structural analysis of discrete data with econometric application – year: 1991 ident: CR9 publication-title: Conditioning diagnostics: Collinearity and weak data in regression – volume: 91 start-page: 841 year: 1996 end-page: 853 ident: CR13 article-title: A maximum entropy approach to recovering information from multinomial response data publication-title: Journal of the American Statistical Association doi: 10.2307/2291679 – volume: 17 start-page: 21 year: 1981 end-page: 49 ident: CR4 article-title: Pooling: An experimental study of alternative testing and estimation procedures in a two-way error component model publication-title: Journal of Econometrics doi: 10.1016/0304-4076(81)90057-9 – year: 1984 ident: CR23 article-title: Prior information and ambiguity in inverse problems publication-title: Inverse problems, SIAM proceedings – year: 2003 ident: CR36 publication-title: Econometric analysis of cross section and 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regression models publication-title: Communications for Statistical Applications and Methods doi: 10.5351/CSAM.2014.21.5.395 – year: 1970 ident: CR35 publication-title: Entropy in urban and regional modeling – volume: 117 start-page: 123 year: 2003 end-page: 150 ident: CR8 article-title: Testing panel data regression model with spatial error correlation publication-title: Journal of Econometrics doi: 10.1016/S0304-4076(03)00120-9 – volume: 108 start-page: 171 year: 1957 end-page: 190 ident: CR22 article-title: Information theory and statistical mechanics II publication-title: Physics Review doi: 10.1103/PhysRev.108.171 – volume: 2 start-page: 451 year: 1973 end-page: 462 ident: CR3 article-title: Error components regression models and their applications publication-title: Annals of Economic and Social Measurement – volume: 41 start-page: 341 year: 1989 end-page: 361 ident: CR34 article-title: Estimation of the error-components model with incomplete panels publication-title: Journal of Econometrics doi: 10.1016/0304-4076(89)90066-3 – year: 2005 ident: CR5 publication-title: Econometric analysis of panel data – year: 1990 ident: CR37 article-title: Bayesian methods and entropy in economics and econometrics publication-title: Maximum entropy and Bayesian methods – volume: 49 start-page: 127 year: 1996 end-page: 136 ident: CR11 article-title: Recovering information in the case of underdetermined problems and incomplete data publication-title: Journal of Statistical Planning and Inference doi: 10.1016/0378-3758(95)00033-X – volume: 79 start-page: 23 year: 1997 end-page: 51 ident: CR14 article-title: Estimation and inference with censored and ordered multinomial response data publication-title: Journal of Econometrics doi: 10.1016/S0304-4076(97)00006-7 – volume: 101 start-page: 357 year: 2001 end-page: 381 ident: CR6 article-title: The unbalanced nested error component regression model publication-title: Journal of Econometrics doi: 10.1016/S0304-4076(00)00089-0 – volume: 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| SubjectTerms | Applied Statistics Bayesian Inference Collinearity Dual generalized maximum entropy Endogeneity Error components model Ill-conditioned problems Panel data Statistical Theory and Methods Statistics Statistics and Computing/Statistics Programs 통계학 |
| Title | Estimation for the multi-way error components model with ill-conditioned panel data |
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