Panel Data Models With Interactive Fixed Effects

From MaRDI portal

Publication:5305251

Jump to:navigation, search

DOI10.3982/ECTA6135zbMath1183.62196OpenAlexW2128249713MaRDI QIDQ5305251

Publication date: 19 March 2010

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta6135

zbMATH Keywords

interactive effects bias-corrected estimator Hausman tests additive effects factor error structure common regressors time-invariant regressors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items

Estimating and Accounting for Unobserved Covariates in High-Dimensional Correlated Data ⋮ Matrix Completion Methods for Causal Panel Data Models ⋮ On the Properties of the Synthetic Control Estimator with Many Periods and Many Controls ⋮ An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls ⋮ Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency ⋮ Testing for heteroskedasticity in two-way fixed effects panel data models ⋮ A NEW PANEL DATA TREATMENT FOR HETEROGENEITY IN TIME TRENDS ⋮ Optimal characteristic portfolios ⋮ Modeling Adverse Birth Outcomes via Confirmatory Factor Quantile Regression ⋮ Testing for common trends in semi‐parametric panel data models with fixed effects ⋮ ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM ⋮ Multilateral Resistance and the Euro Effects on Trade Flows ⋮ Challenges for Panel Financial Analysis ⋮ A Randomized Sequential Procedure to Determine the Number of Factors ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence ⋮ Nonparametric Estimation in Large Panels with Cross-Sectional Dependence ⋮ Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ Augmented factor models with applications to validating market risk factors and forecasting bond risk premia ⋮ An integrated panel data approach to modelling economic growth ⋮ An incidental parameters free inference approach for panels with common shocks ⋮ Estimation and inference in heterogeneous spatial panels with a multifactor error structure ⋮ Time-specific average estimation of dynamic panel regressions ⋮ High-dimensional latent panel quantile regression with an application to asset pricing ⋮ A feasible Spline-kernel estimate for short cross-sectional dependence panel data models ⋮ Subspace clustering for panel data with interactive effects ⋮ Quantifying noise in survey expectations ⋮ Linear panel regressions with two-way unobserved heterogeneity ⋮ Depth-weighted means of noisy data: an application to estimating the average effect in heterogeneous panels ⋮ Uniform inference in linear panel data models with two-dimensional heterogeneity ⋮ Profile GMM estimation of panel data models with interactive fixed effects ⋮ Community network auto-regression for high-dimensional time series ⋮ Binary response models for heterogeneous panel data with interactive fixed effects ⋮ Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data ⋮ On the two algorithms for estimating interactive fixed effects models in Bai (2009) ⋮ Likelihood approach to dynamic panel models with interactive effects ⋮ Cross-section bootstrap for CCE regressions ⋮ A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR ⋮ Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures^† ⋮ Recognition and variable selection in sparse spatial panel data models with fixed effects ⋮ Robust Estimation of Large Panels with Factor Structures ⋮ Simultaneous Spatial Panel Data Models with Common Shocks ⋮ IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS ⋮ Synthetic learner: model-free inference on treatments over time ⋮ Shrinkage estimation of network spillovers with factor structured errors ⋮ High-dimensional VARs with common factors ⋮ Treatment effects in interactive fixed effects models with a small number of time periods ⋮ Large dimensional latent factor modeling with missing observations and applications to causal inference ⋮ Unnamed Item ⋮ Bridging factor and sparse models ⋮ Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed ⋮ A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity ⋮ Confidence intervals of treatment effects in panel data models with interactive fixed effects ⋮ Panel data models with time-varying latent group structures ⋮ Robust projected principal component analysis for large-dimensional semiparametric factor modeling ⋮ DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS ⋮ Error-Correction Factor Models for High-dimensional Cointegrated Time Series ⋮ THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS ⋮ MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES ⋮ Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model ⋮ Weak and strong cross‐section dependence and estimation of large panels ⋮ Testing for sphericity in a fixed effects panel data model ⋮ Estimating and testing a quantile regression model with interactive effects ⋮ Individual and time effects in nonlinear panel models with large \(N\), \(T\) ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects ⋮ TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS ⋮ THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS ⋮ On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects ⋮ LIMIT THEOREMS FOR FACTOR MODELS ⋮ Estimation in a semiparametric panel data model with nonstationarity ⋮ Identification of the linear factor model ⋮ Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach ⋮ Common factors and spatial dependence: an application to US house prices ⋮ Determination of different types of fixed effects in three-dimensional panels* ⋮ Estimation of factor-augmented panel regressions with weakly influential factors ⋮ Testing for sphericity in a two-way error components panel data model ⋮ Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components ⋮ Statistical inference in a random coefficient panel model ⋮ Parameter cascading for panel models with unknown number of unobserved factors: an application to the credit spread puzzle ⋮ Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications ⋮ On the semi-varying coefficient dynamic panel data model with autocorrelated errors ⋮ Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels ⋮ Dynamic panels with threshold effect and endogeneity ⋮ Nonparametric testing for smooth structural changes in panel data models ⋮ A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks ⋮ Inferences in panel data with interactive effects using large covariance matrices ⋮ Set identification of panel data models with interactive effects via quantile restrictions ⋮ Identification problem of GMM estimators for short panel data models with interactive fixed effects ⋮ The Balassa-Samuelson hypothesis in the developed and developing countries revisited ⋮ Inference on modelling cross-sectional dependence for a varying-coefficient model ⋮ Efficient estimation of heterogeneous coefficients in panel data models with common shocks ⋮ Estimation for varying coefficient panel data model with cross-sectional dependence ⋮ Testing slope homogeneity in panel data models with a multifactor error structure ⋮ Evaluating the size of the bootstrap method for fund performance evaluation ⋮ Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test ⋮ Analysis of interactive fixed effects dynamic linear panel regression with measurement error ⋮ Panel data models with multiple time-varying individual effects ⋮ Instrumental variables estimation in large heterogeneous panels with multifactor structure ⋮ Estimation of a multiplicative correlation structure in the large dimensional case ⋮ Series estimation under cross-sectional dependence ⋮ Shrinkage estimation of dynamic panel data models with interactive fixed effects ⋮ Estimation of heterogeneous panels with structural breaks ⋮ Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks ⋮ On the estimation and inference in factor-augmented panel regressions with correlated loadings ⋮ Limit theory for panel data models with cross sectional dependence and sequential exogeneity ⋮ Unbiased CCE estimator for interactive fixed effects panels ⋮ Theory and methods of panel data models with interactive effects ⋮ Detecting big structural breaks in large factor models ⋮ Bootstrapping factor-augmented regression models ⋮ Testing for time-invariant unobserved heterogeneity in generalized linear models for panel data ⋮ Inference on factor structures in heterogeneous panels ⋮ Three-dimensional panel data models with interactive effects: estimation and simulation ⋮ 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 ⋮ Estimating and testing high dimensional factor models with multiple structural changes ⋮ 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 ⋮ Factor models and variable selection in high-dimensional regression analysis ⋮ A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ Panel threshold models with interactive fixed effects ⋮ Regime switching panel data models with interactive fixed effects ⋮ ArCo: an artificial counterfactual approach for high-dimensional panel time-series data ⋮ Recursive estimation in large panel data models: theory and practice ⋮ On CCE estimation of factor-augmented models when regressors are not linear in the factors ⋮ Testing for no factor structures: on the use of Hausman-type statistics ⋮ Factor-augmented regression models with structural change ⋮ A semiparametric latent factor model for large scale temporal data with heteroscedasticity ⋮ Estimation of fractionally integrated panels with fixed effects and cross-section dependence ⋮ Inference and testing breaks in large dynamic panels with strong cross sectional dependence ⋮ Efficient estimation of nonstationary factor models ⋮ Spatial dynamic panel data models with interactive fixed effects ⋮ A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models ⋮ Tests of equal accuracy for nested models with estimated factors ⋮ Sieve estimation of panel data models with cross section dependence ⋮ Asymptotic distribution of factor augmented estimators for panel regression ⋮ A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model ⋮ Robust estimation under error cross section dependence ⋮ Large panels with common factors and spatial correlation ⋮ Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends ⋮ Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data ⋮ Empirical likelihood based inference for a categorical varying-coefficient panel data model with fixed effects ⋮ A simple new test for slope homogeneity in panel data models with interactive effects ⋮ Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity ⋮ Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity ⋮ Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence ⋮ A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models ⋮ Factor dimension determination for panel interactive effects models: an orthogonal projection approach ⋮ Mortality forecasting using factor models: time-varying or time-invariant factor loadings? ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ 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 ⋮ Assessing the causal effect of binary interventions from observational panel data with few treated units ⋮ Dynamic spatial panel data models with common shocks ⋮ Modelling regional patterns of inefficiency: a Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales ⋮ Determining individual or time effects in panel data models ⋮ Shrinkage estimation of panel data models with interactive effects ⋮ A wavelet method for panel models with jump discontinuities in the parameters ⋮ Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects ⋮ Variable selection in panel models with breaks ⋮ Clustering and forecasting multiple functional time series ⋮ Estimation of dynamic mixed double factors model in high-dimensional panel data ⋮ Testing additive versus interactive effects in fixed-\(T\) panels ⋮ A diagnostic criterion for approximate factor structure ⋮ Semi-parametric single-index panel data models with interactive fixed effects: theory and practice ⋮ QML estimation of dynamic panel data models with spatial errors ⋮ Cross-sectional averages versus principal components ⋮ IV estimation of panels with factor residuals ⋮ Testing for individual and time effects in panel data models with interactive effects ⋮ Specification test for panel data models with interactive fixed effects ⋮ Sparse spatio-temporal autoregressions by profiling and bagging ⋮ A spatial panel quantile model with unobserved heterogeneity ⋮ Semiparametric single-index panel data models with cross-sectional dependence ⋮ Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence

This page was built for publication: Panel Data Models With Interactive Fixed Effects

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:5305251&oldid=19975925"