A Stein-like estimator for linear panel data models

作者：Wang, Yun; Zhang, Yonghui^*; Zhou, Qiankun

来源：Economics Letters, 2016, 141: 156-161.

DOI：10.1016/j.econlet.2016.02.016

• Asymptotic risk
• Fixed effects
• Hausman pretest
• Panel data
• Random effects
• Stein estimator

In this paper we follow Hansen (2015a) and propose a Stein-like estimator for linear panel data models. Our estimator takes a weighted average of the fixed effects estimator and the random effects estimator using the weights constructed from Hausman's (1978) testing statistic. We establish the asymptotic distribution of the Stein-like estimator and show its asymptotic risk being strictly smaller than the fixed effects estimator within a local asymptotic framework.

• 出版日期2016-4
• 单位对外经济贸易大学; 中国人民大学