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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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Author Info

  • Verardi, Vincenzo

    ()
    (Free University of Brussels)

  • Wagner, Joachim

    ()
    (Leuphana University Lüneburg)

Abstract

In empirical studies it often happens that some variables for some units are far away from 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 tend to be 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

Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 4928.

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Length: 18 pages
Date of creation: May 2010
Date of revision:
Publication status: published in: Jahrbücher für Nationalökonomie und Statistik, 2011, 231 (4), 546-557
Handle: RePEc:iza:izadps:dp4928

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

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References

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  1. Helpman, Elhanan, 2006. "Trade, FDI and the Organization of Firms," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5589, C.E.P.R. Discussion Papers.
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  3. The International Study Group on Exports and Productivity & Mauro Pisu, 2008. "Exports and productivity – comparable evidence for 14 countries," Working Paper Research, National Bank of Belgium 128, National Bank of Belgium.
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  7. Jens Südekum, 2010. "Human Capital Externalities and Growth of High- and Low-Skilled Jobs," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(1), pages 92-114, February.
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  9. 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, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(5), pages 506-521, October.
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  16. Aquaro, M. & Čížek, P., 2013. "One-step robust estimation of fixed-effects panel data models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 57(1), pages 536-548.
  17. Maria Caterina Bramati & Christophe Croux, 2007. "Robust estimators for the fixed effects panel data model," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 10(3), pages 521-540, November.
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Citations

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Cited by:
  1. Wagner, Joachim, 2010. "From Estimation Results to Stylized Facts: Twelve Recommendations for Empirical Research in International Activities of Heterogeneous Firms," IZA Discussion Papers 5175, Institute for the Study of Labor (IZA).
  2. Temouri, Yama & Wagner, Joachim, 2013. "Do outliers and unobserved heterogeneity explain the exporter productivity premium? Evidence from France, Germany and the United Kingdom," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies 320, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  3. 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.
  4. Joachim Wagner & John P. Weche Geluebcke, 2013. "Credit Constraints, Foreign Ownership, and Foreign Takeovers in Germany," Working Paper Series in Economics 283, University of Lüneburg, Institute of Economics.
  5. Joachim Wagner, 2012. "Exports, Imports and Profitability: First Evidence for Manufacturing Enterprises," Open Economies Review, Springer, Springer, vol. 23(5), pages 747-765, November.
  6. 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.
  7. 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.

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