Fixed-effects dynamic panel models, a factor analytical method

DOI10.3982/ECTA9409MaRDI QIDQ2857046zbMATH OpenOpenAlexFDO

Authors Jushan Bai

Publication date 31 October 2013

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta9409

zbMATH Keywords

efficiencyfixed-\(T\) and large-\(T\) dynamic panelsheteroskedasticityincidental parameters in meansincidental parameters in variancesrobust estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25)

Recommendations

• Individual and time effects in nonlinear panel models with large \(N\), \(T\)
• Estimation of dynamic panel data models with both individual and time-specific effects
• Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence

Cited in

(31)

• Panel data analysis with heterogeneous dynamics
• Panel models with interactive effects
• Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
• Factor dimension determination for panel interactive effects models: an orthogonal projection approach
• Robust likelihood estimation of dynamic panel data models
• Likelihood inference and the role of initial conditions for the dynamic panel data model
• Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
• Fixed-effects dynamic spatial panel data models and impulse response analysis
• Comment on `IV estimation of panels with factor residuals' by D. Robertson and V. Sarafidis
• The factor analytical approach in near unit root interactive effects panels
• Study of the heterogeneity of the time-fixed effects and the application of an improved model
• The estimation of multidimensional fixed effects panel data models
• First-differencing in panel data models with incidental functions
• The factor analytical approach in trending near unit root panels
• Estimation of time-invariant effects in static panel data models
• Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
• Determination of different types of fixed effects in three-dimensional panels
• Fixed T dynamic panel data estimators with multifactor errors
• An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
• Estimation of time-varying coefficient dynamic panel data models
• Indirect inference estimation of dynamic panel data models
• Likelihood approach to dynamic panel models with interactive effects
• Identification-Robust Inference With Simulation-Based Pseudo-Matching
• Efficiency in large dynamic panel models with common factors
• Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
• Mode-adaptive factor models
• Maximum likelihood estimation of short panel autoregressive models with flexible form of fixed effects
• Efficiency of QMLE for Dynamic Panel Data Models with Interactive Effects
• Exact and asymptotic tests on a factor model in low and large dimensions with applications
• Estimation of dynamic mixed double factors model in high-dimensional panel data
• Estimation of dynamic panel data models with both individual and time-specific effects

This page was built for publication: Fixed-effects dynamic panel models, a factor analytical method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2857046)