Linear panel regressions with two-way unobserved heterogeneity

DOI10.1016/j.jeconom.2023.105498arXiv2109.11911OpenAlexW3203257956MaRDI QIDQ6090548

Martin Weidner, Hugo Freeman

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.11911

zbMATH Keywords

panel datagrouped fixed-effectsinteractive fixed-effects

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Estimating Vector Autoregressions with Panel Data
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Estimating the Technology of Cognitive and Noncognitive Skill Formation
• Rate-optimal graphon estimation
• Panel data models with multiple time-varying individual effects
• Determining the number of factors when the number of factors can increase with sample size
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Large panels with common factors and spatial correlation
• The impact of a Hausman pretest on the size of a hypothesis test: the panel data case
• Shrinkage estimation of dynamic panel data models with interactive fixed effects
• Estimation of random coefficients logit demand models with interactive fixed effects
• Rates of convergence for the empirical quantization error
• Analysis of interactive fixed effects dynamic linear panel regression with measurement error
• Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
• On time-varying factor models: estimation and testing
• IV estimation of panels with factor residuals
• On the estimation and inference in factor-augmented panel regressions with correlated loadings
• DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS
• Weak and strong cross‐section dependence and estimation of large panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• On the impact of error cross-sectional dependence in short dynamic panel estimation
• Split-panel Jackknife Estimation of Fixed-effect Models
• Non-parametric Panel Data Models with Interactive Fixed Effects
• An Econometric Model of Network Formation With Degree Heterogeneity
• No-Bubble Condition: Model-Free Tests in Housing Markets
• Identifying Latent Structures in Panel Data
• Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
• Some estimates of norms of random matrices
• TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
• Low-rank approximations of nonseparable panel models
• Discretizing Unobserved Heterogeneity
• Panel Data Models With Interactive Fixed Effects
• Approximation of bi-variate functions: singular value decomposition versus sparse grids
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model
• Fixed T dynamic panel data estimators with multifactor errors
• GMM estimation of linear panel data models with time-varying individual effects
• Individual and time effects in nonlinear panel models with large \(N\), \(T\)
• Bootstrap With Cluster‐Dependence in Two or More Dimensions

This page was built for publication: Linear panel regressions with two-way unobserved heterogeneity