Statistics Colloquium : Dr. Abhijit Mandal

Title: Robust Density Power Divergence Estimates for Panel Data Models

Abstract: The panel data regression models have become one of the most widely applied statistical approaches in different fields of research, including social, behavioral, environmental sciences, and econometrics. However, traditional least-squares-based techniques frequently used for panel data models are vulnerable to the adverse effects of the data contamination or outlying observations that may result in biased and inefficient estimates and misleading statistical inference. In this study, we propose a minimum density power divergence estimation procedure for panel data regression models with random effects to achieve robustness against outliers. The robustness, as well as the asymptotic properties of the proposed estimator, are rigorously established.  The finite-sample properties of the proposed method are investigated through an extensive simulation study and an application to climate data in Oman. Our results demonstrate that the proposed estimator exhibits improved performance over some traditional and robust methods in the presence of data contamination.

This is joint work with Beste Hamiye Beyaztas and Soutir Bandyopadhyay. The manuscript is available at https://arxiv.org/abs/2108.02408