Robust estimation of panel data regression models and applications

Ji, Ai-bing; Wei, Bowen; Xu, Li

doi:10.1080/03610926.2022.2050403

Cited by 4 publications

(1 citation statement)

References 20 publications

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“…The random effects model selection estimates panel data where disturbance variables may be interconnected over time or between individuals. The appropriate method for estimating the random effects model is generalized least squares, which can be processed directly using Eviews software (Ji, Wei, & Xu, 2023).…”

Section: Analysis Methods and Techniquesmentioning

confidence: 99%

The influence of tick prices on high-frequency trading on market quality in LQ-45 Indonesia

Riyanto,

Sriyana,

Arifin

et al. 2024

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This research aims to determine the influence of tick prices on high-frequency trading on market quality in LQ-45 Indonesia. This study employs a quantitative approach. This study employed the Fixed Effect, Random Effect and Common Effect. The research data source used secondary data, with 37 stocks identified that met the criteria for High-Frequency Trading (HFT). The data analysis technique utilized panel data method. Three findings were revealed in the results of this research: first, it demonstrates a significant impact of tick price on High-Frequency Trading (HFT) activity; second, it reveals a positive influence of HFT on market quality, as evidenced by the metrics of spread, volatility, and risk-adjusted return. HFT activity in this research substantiates a positive impact on market quality, measured through spread, volatility, and risk-adjusted return. However, when assessing market quality based on liquidity, the research indicated that HFT volume and trades exert a noteworthy impact on diminishing market liquidity; and third, High-Frequency Trading (HFT) generally exhibits a notable impact on reducing spreads, even though its strength is not conclusively proven in the HFT volume test. The practical implications of this research offer insights into the positive impact of tick prices on the escalation of High-Frequency Trading (HFT) activity.

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Section: Analysis Methods and Techniquesmentioning

confidence: 99%

The influence of tick prices on high-frequency trading on market quality in LQ-45 Indonesia

Riyanto,

Sriyana,

Arifin

et al. 2024

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SVR-based method for fixed effects interval-valued panel models

Ji,

Cao,

Zhang

et al. 2024

Communications in Statistics - Theory and Methods

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Combined application of methods of maximum consistency and anti-robust parameter estimation in the construction of regression models

Noskov,

Bychkov

2024

Vestn. Dagest. gos. teh. univ., Teh. nauki

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Objective. The purpose of the study is to solve the problem of calculating the parameters of a linear regression model based on the joint application of anti-robust estimation methods and maximum consistency between the real and calculated values of the dependent variable in continuous form. Method. The unknown parameters of the model are calculated by reducing the original problem to a linear programming problem. Its solution should not cause computational difficulties due to the significant number of developed effective software tools. Result. The generated linear programming problem has a dimension acceptable for real situations. Conclusion. The results of solving a numerical example indicate the effectiveness of the method proposed in the work for calculating the parameters of a linear regression model based on the joint application of anti-robust estimation methods and maximum consistency. The final choice of parameter values remains with the model developer.

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Robust estimation of panel data regression models and applications

Cited by 4 publications

References 20 publications

The influence of tick prices on high-frequency trading on market quality in LQ-45 Indonesia

The influence of tick prices on high-frequency trading on market quality in LQ-45 Indonesia

SVR-based method for fixed effects interval-valued panel models

Combined application of methods of maximum consistency and anti-robust parameter estimation in the construction of regression models

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