Investigation of Finite Sample Properties and Efficiency of Some Estimators for Panel Data Model with Normal and Non-Normal Error Structure
Authors
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Torruam, J. T.
Department of Statistics, University of Ilorin, Ilorin, Kwara State, Nigeria
https://orcid.org/0000-0002-6164-6302
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Waheed, B. Y.
Department of Statistics, University of Ilorin, Ilorin, Kwara State, Nigeria
https://orcid.org/0000-0002-6164-6302
Abstract
The study investigates efficiency of some estimators for panel data modelwith non-normal error structure and varying sample sizes. It considersone-stage and two-stage error component models with three exogenousand one endogenous variable. The efficiency of four estimators of paneldata model based on one-step and two-step error component models acrossvarying finite samples were investigated under normal and non-normalerror structures. The data set used for the panel linear model (PLM) andthe general feasible generalized least squares (GFGLS) model forinvestigating efficiency of the four estimators in this study were simulatedusing R software. Three predictors were simulated from normaldistributions at the various samples sizes and variances. The errorstructures were simulated from Gaussian distribution with mean 0 andvariance 1 and Exponential distribution with lambda 1 in the plm libraryof the R software. The four estimators were utilized to estimate the fixedparameters that form the model
Keywords: Finite Sample Properties, Efficiency of SomeEstimators, Panel Data Model, Non-Normal Error Structure