Three-dimensional panel data models with interactive effects: Estimation and simulation

This paper considers three-dimensional panel data models with unobservable multiple interactive effects, which are potentially correlated with the covariates. We propose an iterated OLS (IOLS) approach for the estimation of the static model and an iterated GMM (IGMM) method for the dynamic model. Monte Carlo simulations illustrate that our methods perform well in finite samples.

MoreLess

Year of publication:	2014
Authors:	Ye, Xiaoqing ; Wu, Xiangjun
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 1, p. 62-65
Publisher:	Elsevier
Subject:	Three-dimensional panel data models \| Interactive effects \| Iterated OLS \| Iterated GMM

More details

Type of publication:	Article
Classification:	C23 - Models with Panel Data ; c26 ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010743724