Dynamic linear panel regression models with interactive fixed effects

DOI10.1017/S0266466615000328MaRDI QIDQ2981828zbMATH OpenOpenAlexFDO

Authors Hyungsik Roger Moon, Martin Weidner

Publication date 10 May 2017

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466615000328

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• scientific article; zbMATH DE number 5071101
• Linear regression for panel with unknown number of factors as interactive fixed effects
• Analysis of interactive fixed effects dynamic linear panel regression with measurement error
• Panel data models with interactive fixed effects

Cites work

• A limit theorem for the norm of random matrices
• A note on the largest eigenvalue of a large dimensional sample covariance matrix
• A PANIC attack on unit roots and cointegration.
• A quantile regression approach for estimating panel data models using instrumental variables
• An IV Model of Quantile Treatment Effects
• Analysis of interactive fixed effects dynamic linear panel regression with measurement error
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Automobile Prices in Market Equilibrium
• Bias reduction for dynamic nonlinear panel models with fixed effects
• Biases in Dynamic Models with Fixed Effects
• Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
• Common risk factors in the returns on stocks and bonds
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Determining the Number of Factors in Approximate Factor Models
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Estimating Vector Autoregressions with Panel Data
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Estimation When a Parameter is on a Boundary
• Forecasting Using Principal Components From a Large Number of Predictors
• GMM estimation of linear panel data models with time-varying individual effects
• scientific article; zbMATH DE number 3678541 (Why is no real title available?)
• scientific article; zbMATH DE number 5245028 (Why is no real title available?)
• Jackknife and analytical bias reduction for nonlinear panel models.
• Large panels with common factors and spatial correlation
• Linear regression for panel with unknown number of factors as interactive fixed effects
• On the eigenvectors of large dimensional sample covariance matrices
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Panel data models with interactive fixed effects
• Panels with non-stationary multifactor error structures
• Some estimates of norms of random matrices
• Testing for a unit root in panels with dynamic factors
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• Weak and strong cross-section dependence and estimation of large panels

Cited in

(79)

• Bias-corrected estimation of panel vector autoregressions
• Unbiased CCE estimator for interactive fixed effects panels
• Regime switching panel data models with interactive fixed effects
• Identifying latent grouped patterns in panel data models with interactive fixed effects
• Estimation of random coefficients logit demand models with interactive fixed effects
• Panel models with interactive effects
• Analysis of interactive fixed effects dynamic linear panel regression with measurement error
• On factor models with random missing: EM estimation, inference, and cross validation
• Factor dimension determination for panel interactive effects models: an orthogonal projection approach
• Dynamic spatial panel data models with common shocks
• Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
• Efficient estimation of heterogeneous coefficients in panel data models with common shocks
• Editorial: Celebrating 40 years of panel data analysis: past, present and future
• Nonlinear factor models for network and panel data
• On the robustness of the pooled CCE estimator
• Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
• Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables
• Nonstationary panel models with latent group structures and cross-section dependence
• Panel threshold models with interactive fixed effects
• Variable selection in panel models with breaks
• QML estimation of dynamic panel data models with spatial errors
• IV estimation of panels with factor residuals
• Specification test for panel data models with interactive fixed effects
• An incidental parameters free inference approach for panels with common shocks
• Factor models with local factors -- determining the number of relevant factors
• Shrinkage estimation of network spillovers with factor structured errors
• High-dimensional VARs with common factors
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• Linear regression for panel with unknown number of factors as interactive fixed effects
• Asymptotic analysis of the squared estimation error in misspecified factor models
• scientific article; zbMATH DE number 7376773 (Why is no real title available?)
• A UNIFORM BOUND ON THE OPERATOR NORM OF SUB-GAUSSIAN RANDOM MATRICES AND ITS APPLICATIONS
• Cross-Sectional Dependence in Panel Data Analysis
• A nonparametric poolability test for panel data models with cross section dependence
• Spatial dynamic panel data models with interactive fixed effects
• On the properties of quantile regression for dynamic panel data model using two-stage approach
• Two-stage quantile regression for dynamic panel data models with fixed effects: Monte Carlo simulation study
• Panel data models with interactive fixed effects
• The factor-Lasso and \(k\)-step bootstrap approach for inference in high-dimensional economic applications
• Common factors and spatial dependence: an application to US house prices
• Matrix Completion Methods for Causal Panel Data Models
• Time-specific average estimation of dynamic panel regressions
• Linear panel regressions with two-way unobserved heterogeneity
• Profile GMM estimation of panel data models with interactive fixed effects
• Approximate factor models with weaker loadings
• Likelihood approach to dynamic panel models with interactive effects
• Robust Estimation of Large Panels with Factor Structures
• Simultaneous Spatial Panel Data Models with Common Shocks
• Panel data models with time-varying latent group structures
• Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors
• Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
• Statistical Inference on Panel Data Models: A Kernel Ridge Regression Method
• Transformed Estimation for Panel Interactive Effects Models
• Estimation and Inference on Time-Varying FAVAR Models
• An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
• GMM estimation for high-dimensional panel data models
• Dynamic spatial panel data models with interactive fixed effects: M-estimation and inference under fixed or relatively small T
• A projection-based approach for interactive fixed effects panel data models
• Five lessons for applied researchers from twenty years of common correlated effects estimation
• Inference in partially identified panel data models with interactive fixed effects
• Test for serial correlation in panel data models with interactive fixed effects
• Sieve estimation of state-varying factor models
• Combining Instrumental Variable Estimators for a Panel Data Model with Factors
• A note on factor models with latent group structures
• A simple and computationally trivial estimator for grouped fixed effects models
• Estimation of large covariance matrices with mixed factor structures
• On time-varying panel data models with time-varying interactive fixed effects
• Covariate-informed reconstruction of partially observed functional data via factor models
• Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects
• Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects
• Unified Inference for Panel Autoregressive Models With Unobserved Grouped Heterogeneity
• Estimation and inference for unbalanced panel data models with interactive fixed effects
• Nuclear norm regularized estimation of panel regression models
• Efficiency of QMLE for Dynamic Panel Data Models with Interactive Effects
• Inference in unbalanced panel data models with interactive fixed effects
• Latent factor models with functional single-index loadings
• xtife
• Shrinkage estimation of dynamic panel data models with interactive fixed effects

This page was built for publication: Dynamic linear panel regression models with interactive fixed effects

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2981828)