RELATIVE PERFORMANCE OF COMPONENTS VARIANCE ESTIMATORS IN RANDOM EFFECTS MODELS

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MOHAMMADI TEIMOUR

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Journal: Iranian Journal of Economic Research Year:2012 | Volume:17 | Issue:50 Page(s): 83-98

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Information Journal Paper

Title

RELATIVE PERFORMANCE OF COMPONENTS VARIANCE ESTIMATORS IN RANDOM EFFECTS MODELS

Author(s)

MOHAMMADI TEIMOUR | Issue Writer Certificate

Keywords

PANEL DATAQ2

RANDOM EFFECTSQ2

COMPONENT VARIANCE ESTIMATORSQ2

SIMULATIONQ2

Abstract

This paper presents an assessment of the small-sample performance of the three well-known estimators of components variance in RANDOM EFFECTS model for PANEL DATA. The estimators considered are Swamy-Arora, Wansbeek-Kaptayn and Wallace-Hussain. To this end, by simulating a one-way error component model in the form of RANDOM EFFECTS, small sample performance of three variance estimators is studied. The implications of these results for indentifying the model and its estimation are specified.In these SIMULATIONs, conditions under which Swamy-Arora estimator is inferior to alternatives are expressed. It is shown that in small samples the estimator thus obtained can give highly wrong guidance. In one-way error component model this small sample size refers to the number of cross-sections.

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APA: Copy

MOHAMMADI, TEIMOUR. (2012). RELATIVE PERFORMANCE OF COMPONENTS VARIANCE ESTIMATORS IN RANDOM EFFECTS MODELS. IRANIAN ECONOMIC RESEARCH, 17(50), 83-98. SID. https://sid.ir/paper/2736/en

Vancouver: Copy

MOHAMMADI TEIMOUR. RELATIVE PERFORMANCE OF COMPONENTS VARIANCE ESTIMATORS IN RANDOM EFFECTS MODELS. IRANIAN ECONOMIC RESEARCH[Internet]. 2012;17(50):83-98. Available from: https://sid.ir/paper/2736/en

IEEE: Copy

TEIMOUR MOHAMMADI, “RELATIVE PERFORMANCE OF COMPONENTS VARIANCE ESTIMATORS IN RANDOM EFFECTS MODELS,” IRANIAN ECONOMIC RESEARCH, vol. 17, no. 50, pp. 83–98, 2012, [Online]. Available: https://sid.ir/paper/2736/en

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