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:: International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies

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ISSN 2228-9860
eISSN 1906-9642
CODEN: ITJEA8


FEATURE PEER-REVIEWED ARTICLE

Vol.13(4)(2022)

  • A Specialized Empirical Bayes Single Regression Coefficient Estimation Procedure for Panel Data Linear Regression Models

    Khan Bahadar (School of Economics, International Islamic University Islamabad, PAKISTAN)
    Eatzaz Ahmed (School of Economics, Quaid-i-Azam University Islamabad., PAKISTAN)
    Shahid Akbar (Department of Economics, University of Swabi, PAKISTAN)

    Disciplinary: Econometrics, Economics.

    ➤ FullText

    doi: 10.14456/ITJEMAST.2022.70

    Keywords: Empirical Bayes; Prior Mean; Prior Variance; Zellner's g-priors; Prior Precision; Keynesian consumption function.

    Abstract
    In this article, a specialized empirical Bayes estimator for the panel data model is applied to real-world data. This estimator is suitable for all the standard classical panel data models. In this study, the simple linear regression model with orthogonal regressors has been used, and the coefficients for the ith unit of the panel have been estimated individually and independently, that is, the intercepts and the slopes coefficients for each unit of the panel are estimated as scalar quantities rather than a vector of both. The estimator used here is, "the precision weighted arithmetic mean of the ordinary least squares coefficient estimates of the kth regressor across all the units of the panel as the estimate of the prior mean and the Zellner's g-prior is used as the estimate of the prior variance and the resultant prior precision". By taking different values by the prior precision parameter, it has the potential to produce all the standard frequentist panel data linear regression model estimators. The estimate of the prior precision parameter is obtained from the data corresponding to all units of the panel therefore, it is considered to be the most reliable.

    Paper ID: 13A4G

    Cite this article:

    Bahadar, K., Ahmed, E., and Akbar, S. (2022). A Specialized Empirical Bayes Single Regression Coefficient Estimation Procedure for Panel Data Linear Regression Models. International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies, 13(3), 13A4G, 1-12. http://TUENGR.COM/V13/13A4G.pdf DOI: 10.14456/ITJEMAST.2022.70

References

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  7. Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica: Journal of the Econometric Society, 1251-1271.
  8. Hsiao, C. (2007). Panel Data Analysis-Advantages and Challenges. Test, 16(1), 1-22.
  9. Zaman, A. (1996). Statistical Foundations for Econometric Techniques. Academic Press.
  10. Zellner, A. (1971). An Introduction to Bayesian Inference in Econometrics. Wiley & Sons, New York.


Other issues:
Vol.13(3)(2022)
Vol.13(2)(2022)
Vol.13(1)(2022)
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