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Robust Estimation of Linear Fixed Effects Panel Data Models with an Application to the Exporter Productivity Premium

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  • Vincenzo Verardi

    ()
    (University of Namur, Belgmium)

  • Joachim Wagner

    ()
    (Leuphana University Lueneburg)

Abstract

In empirical studies often the values of some variables for some observations are much larger or smaller than the values for the other observations in the sample. These extreme observations, or outliers, often have a large impact on the results of statistical analyses. Conclusions based on a sample with and without these units may differ drastically. While applied researchers are usually aware of this the detection of outliers and their appropriate treatment is often dealt with in a rather sloppy manner. One reason for this habit seems to be the lack of availability of appropriate canned programs for robust methods that can be used in the presence of outliers. Our paper intents to improve on this situation by presenting a highly robust method for estimation of the popular linear fixed effects panel data model and to supply Stata code for it. In an application from the field of the micro-econometrics of international firm activities we demonstrate that outliers can indeed drive results.

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Bibliographic Info

Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

Volume (Year): 231 (2011)
Issue (Month): 4 (August)
Pages: 546-557

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Handle: RePEc:jns:jbstat:v:231:y:2011:i:4:p:546-557

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Keywords: Robust estimation; panel data; outliers; Stata; exporter productivity premium;

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References

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  1. Christian Pfeifer, 2010. "Work Effort During and After Employment Probation: Evidence from German Personnel Data," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(1), pages 77-91, February.
  2. Gabriel M. Ahlfeldt & Wolfgang Maennig, 2010. "Impact of Non-smoking Ordinances on Hospitality Revenues: The Case of Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(5), pages 506-521, October.
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  15. Vincenzo Verardi & Catherine Dehon & Marjorie Gassner, 2009. "Beware of "good" outliers and overoptimistic conclusions," ULB Institutional Repository 2013/9907, ULB -- Universite Libre de Bruxelles.
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Cited by:
  1. Joachim Wagner, 2011. "International Trade and Firm Performance: A Survey of Empirical Studies since 2006," Working Paper Series in Economics 210, University of Lüneburg, Institute of Economics.
  2. Yama Temouri & Joachim Wagner, 2013. "Do outliers and unobserved heterogeneity explain the exporter productivity premium? Evidence from France, Germany and the United Kingdom," Working Paper Series in Economics 278, University of Lüneburg, Institute of Economics.
  3. Joachim Wagner, 2010. "From estimation results to stylized facts. Twelve recommendations for empirical research in international activities of heterogeneous firms," Working Paper Series in Economics 186, University of Lüneburg, Institute of Economics.
  4. Wagner, Joachim & Gelübcke, John P. Weche, 2013. "Credit Constraints, Foreign Ownership, and Foreign Takeovers in Germany," Working Paper Series in Economics and Institutions of Innovation 329, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  5. Joachim Wagner, 2012. "Exports, Imports and Profitability: First Evidence for Manufacturing Enterprises," Open Economies Review, Springer, vol. 23(5), pages 747-765, November.
  6. Alexander Vogel & Joachim Wagner, 2011. "Robust estimates of exporter productivity premia in German business services enterprises," Working Paper Series in Economics 207, University of Lüneburg, Institute of Economics.
  7. Joachim Wagner, 2012. "New Methods for the Analysis of Links between International Firm Activities and Firm Performance: A Practitioner’s Guide," Working Paper Series in Economics 227, University of Lüneburg, Institute of Economics.

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