Search Results - subject:"Interactive Fixed Effects"

Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models

Jin, Sainan; Su, Liangjun; Zhang, Yonghui - School of Economics, Singapore Management University - 2014

framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the …

Persistent link: https://www.econbiz.de/10010887079

Specification Test for Panel Data Models with Interactive Fixed Effects

Su, Liangjun; Jin, Sainan; Zhang, Yonghui - School of Economics, Singapore Management University - 2014

interactive fixed effects. Both lagged dependent variables and conditional heteroskedasticity of unknown form are allowed in the …

Persistent link: https://www.econbiz.de/10010887080

Asymptotic distribution of factor augmented estimators for panel regression

Greenaway-McGrevy, Ryan; Han, Chirok; Sul, Donggyu - In: Journal of Econometrics 169 (2012) 1, pp. 48-53

In this paper we derive an asymptotic theory for linear panel regression augmented with estimated common factors. We give conditions under which the estimated factors can be used in place of the latent factors in the regression equation. For the principal components estimate of the factor space...

Persistent link: https://www.econbiz.de/10011052339

Analysis of interactive fixed effects dynamic linear panel regression with measurement error

Lee, Nayoung; Moon, Hyungsik Roger; Weidner, Martin - In: Economics Letters 117 (2012) 1, pp. 239-242

This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable …

Persistent link: https://www.econbiz.de/10010580507

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