Theory and methods of panel data models with interactive effects

DOI10.1214/13-AOS1183zbMath1331.62112arXiv1402.6550MaRDI QIDQ2448726

Jushan Bai, Kunpeng Li

Publication date: 5 May 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.6550

zbMATH Keywords

maximum likelihood; simultaneous equations; principal components; common shock model; factor error structure; within-group estimator; pseudo-Gaussian ML method

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62F30: Parametric inference under constraints

Related Items

Structure identification in panel data analysis, Estimation of average treatment effects with panel data: asymptotic theory and implementation, Theory and methods of panel data models with interactive effects

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