Moment-based estimation of linear panel data models with factor-augmented errors

DOI10.1515/JEM-2023-0050MaRDI QIDQ6656777zbMATH OpenFDO

Authors Nicholas L. Brown

Publication date 3 January 2025

Published in Journal of Econometric Methods (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

factor modelscommon correlated effectscorrelated random coefficientsfixed-\(T\)quasi-long-differencing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

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Cites work

• A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors
• A Test for Slope Heterogeneity in Fixed Effects Models
• Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
• CCE in heterogenous fixed-T panels
• Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Estimation of heterogeneous panels with systematic slope variations
• Fixed T dynamic panel data estimators with multifactor errors
• Identification problem of GMM estimators for short panel data models with interactive fixed effects
• Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
• Large Sample Properties of Generalized Method of Moments Estimators
• Linear regression for panel with unknown number of factors as interactive fixed effects
• On estimation and inference in heterogeneous panel regressions with interactive effects
• On the role of the rank condition in CCE estimation of factor-augmented panel regressions
• Panel data methods for fractional response variables with an application to test pass rates
• Panel data models with multiple time-varying individual effects
• Testing factors in CCE
• Testing for Slope Heterogeneity Bias in Panel Data Models

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