Search Results - subject:"interactive fixed effects"

A Factor Analytical Method to Interactive Effects Dynamic Panel Models with or without Unit Root

Westerlund, Joakim; Norkute, Milda - 2014

In a recent study, Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013a) proposes a new factor analytic (FA) method to the estimation of dynamic panel data models, which has the unique and very useful property that it is completely bias-free....

Persistent link: https://www.econbiz.de/10013208680

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - CESifo - 2014

fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an …This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …

Persistent link: https://www.econbiz.de/10010779414

Linear regression for panel with unknown number of factors as interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2014

factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true … that for inference on the regression coefficients one does not necessarily need to estimate the number of interactive fixed … effects consistently. …

Persistent link: https://www.econbiz.de/10010392909

Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects

Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - 2014

Persistent link: https://www.econbiz.de/10010358963

Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects

Hayakawa, Kazuhiko; Peseran, Hashem; Smith, L. Vanessa - 2014

Persistent link: https://www.econbiz.de/10010366308

Estimation of random coefficients logit demand models with interactive fixed effects

Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - 2014 - This draft: April 22, 2014

much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved … product characteristics. The interactive fixed effects can be arbitrarily correlated with the observed product characteristics …

Persistent link: https://www.econbiz.de/10010345243

Dynamic Panel Data Models with Irregular Spacing: With Applications to Early Childhood Development

Millimet, Daniel L.; McDonough, Ian K. - 2013

With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the properties of various estimators of such models are well known. However, we show that these estimators breakdown when the data are irregularly spaced along the time dimension....

Persistent link: https://www.econbiz.de/10010319485

Linear regression for panel with unknown number of factors as interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2013

of the number of interactive fixed effects used in the estimation, as long as this number does not fall below the true … number of interactive fixed effects present in the data. The important practical implication of this result is that for …In this paper we study the least sqares (LS) estimator in a linear panel regression model with interactive fixed …

Persistent link: https://www.econbiz.de/10010368192

Dynamic Panel Data Models with Irregular Spacing: With Applications to Early Childhood Development

Millimet, Daniel L.; McDonough, Ian K. - Institute for the Study of Labor (IZA) - 2013

Persistent link: https://www.econbiz.de/10010643100

Dynamic panel data models with irregular spacing : with applications to early childhood development

Millimet, Daniel L.; McDonough, Ian K. - 2013

Persistent link: https://www.econbiz.de/10009739581