Factor dimension determination for panel interactive effects models: an orthogonal projection approach

DOI10.1007/S00180-020-01059-YMaRDI QIDQ2033299zbMATHOpenAlexFDO

Authors Cheng Hsiao, Yimeng Xie, Qiankun Zhou

Publication date 16 June 2021

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-020-01059-y

zbMATH Keywords

information criterionprojection matrixfactor dimensionspanel interactive modelrecursive iteration

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• Orthogonal Parameters and Panel Data
• The estimation of multidimensional fixed effects panel data models
• The factor analytical approach in near unit root interactive effects panels
• Fixed-effects dynamic panel models, a factor analytical method
• Inference on factor structures in heterogeneous panels
• Linear regression for panel with unknown number of factors as interactive fixed effects
• Theory and methods of panel data models with interactive effects
• Fixed effects estimation of structural parameters and marginal effects in panel probit models
• Inter-effect orthogonality and optimality in hierarchical models
• Estimation of dynamic mixed double factors model in high-dimensional panel data

Cites work

• Analysis of panel data
• Determining the Number of Factors in Approximate Factor Models
• Dynamic linear panel regression models with interactive fixed effects
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Identifying technology spillovers and product market rivalry
• Improved penalization for determining the number of factors in approximate factor models
• Linear models. Least squares and alternatives
• Linear regression for panel with unknown number of factors as interactive fixed effects
• Panel data models with interactive fixed effects
• Panel models with interactive effects
• Projection matrices, generalized inverse matrices, and singular value decomposition.
• Shrinkage estimation of dynamic panel data models with interactive fixed effects

Cited in

(1)

• A generalized knockoff procedure for FDR control in structural change detection

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