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A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model

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  • Mousa, Amani
  • Youssef, Ahmed H.
  • Abonazel, Mohamed R.

Abstract

A particularly useful approach for analyzing pooled cross sectional and time series data is Swamy's random coefficient panel data (RCPD) model. This paper examines the performance of Swamy's estimators and tests associated with this model by using Monte Carlo simulation. The Monte Carlo study shed some light into how well the Swamy's estimate perform in small, medium, and large samples, in cases when the regression coefficients are fixed, random, and mixed. The Monte Carlo simulation results suggest that the Swamy's estimate perform well in small samples if the coefficients are random and but it does not when regression coefficients are fixed or mixed. But if the samples sizes are medium or large, the Swamy's estimate performs well when the regression coefficients are fixed, random, or mixed.

Suggested Citation

  • Mousa, Amani & Youssef, Ahmed H. & Abonazel, Mohamed R., 2011. "A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model," MPRA Paper 49768, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:49768
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    References listed on IDEAS

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    1. Hsiao, C. & Pesaran, M.H., 2004. "‘Random Coefficient Panel Data Models’," Cambridge Working Papers in Economics 0434, Faculty of Economics, University of Cambridge.
    2. Kelejian, Harry H & Stephan, Scott W, 1983. "Inference in Random Coefficient Panel Data Models: A Correction and Clarification of the Literature," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(1), pages 249-254, February.
    3. Carlson, Rodney L, 1978. "Seemingly Unrelated Regression and the Demand for Automobiles of Different Sizes, 1965-75: A Disaggregate Approach," The Journal of Business, University of Chicago Press, vol. 51(2), pages 243-262, April.
    4. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-323, March.
    5. Gendreau, Brian C & Humphrey, David Burras, 1980. "Feedback Effects in the Market Regulation of Bank Leverage: A Time-Series and Cross-Section Analysis," The Review of Economics and Statistics, MIT Press, vol. 62(2), pages 276-280, May.
    6. Murtazashvili, Irina & Wooldridge, Jeffrey M., 2008. "Fixed effects instrumental variables estimation in correlated random coefficient panel data models," Journal of Econometrics, Elsevier, vol. 142(1), pages 539-552, January.
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    Cited by:

    1. Abonazel, Mohamed R., 2016. "Generalized Random Coefficient Estimators of Panel Data Models: Asymptotic and Small Sample Properties," MPRA Paper 72586, University Library of Munich, Germany.
    2. Abonazel, Mohamed R., 2015. "How to Create a Monte Carlo Simulation Study using R: with Applications on Econometric Models," MPRA Paper 68708, University Library of Munich, Germany.

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    More about this item

    Keywords

    Random Coefficient Panel Data Model; Mixed RCPD Model; Panel Data; Monte Carlo Simulation; Pooling Cross Section and Time Series Data;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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