ℓ1 regressions: Gini estimators for fixed effects panel data

Abstract : Panel data, frequently employed in empirical investigations, provide estimators being strongly biased in the presence of atypical observations. The aim of this work is to propose a ℓ 1 Gini regression for panel data. It is shown that the fixed effects within-group Gini estimator is more robust than the ordinary least squares one when the data are contaminated by outliers. This semi-parametric Gini estimator is proven to be an U-statistics, consequently, it is asymptotically normal.
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Ndéné Ka, Stéphane Mussard. ℓ1 regressions: Gini estimators for fixed effects panel data. Journal of Applied Statistics, Taylor & Francis (Routledge), 2015, 46 (8), pp.1436-1446. ⟨10.1080/02664763.2015.1103707 ⟩. ⟨hal-01784180⟩

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