ℓ1 regressions: Gini estimators for fixed effects panel data

Ndéné Ka (1) , Stéphane Mussard (2)

1 LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée
2 UNIMES - Université de Nîmes

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.

Mots clés: Gini; panel; regression; U-statistics; Panel; Regression; U -statistics *

Domaines: Économie et finance quantitative [q-fin]; Gestion et management

Ndéné Ka, Stéphane Mussard. ℓ1 regressions: Gini estimators for fixed effects panel data. Journal of Applied Statistics, 2015, 46 (8), pp.1436-1446. ⟨10.1080/02664763.2015.1103707⟩. ⟨hal-01784180⟩