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Estimating interaction effects with panel data
Muris, Chris; Wacker, Konstantin - 2025
linear panel models with a fixed Tdimension. We advocate for a correlated interaction term estimator (CITE) and show that it …
Persistent link: https://www.econbiz.de/10015357219
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Analysis of multiple long run relations in panel data models with applications to financial ratio
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2025
This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … approach is illustrated with an application to key financial variables using an unbalanced panel of US firms from merged CRSP …
Persistent link: https://www.econbiz.de/10015409539
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Fixed-effects binary choice models with three or more periods
Davezies, Laurent; D'Haultfœuille, Xavier; Mugnier, Martin - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 1105-1132
We consider fixed‐effects binary choice models with a fixed number of periods T and regressors without a large support. If the time‐varying unobserved terms are i.i.d. with known distribution F, Chamberlain (2010) shows that the common slope parameter is point identified if and only if F is...
Persistent link: https://www.econbiz.de/10014362568
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Estimating heterogeneous reactions to experimental treatments
Engel, Christoph - 2019 - This version: January 20, 2019
about the number of types. Finite mixture models are hard to estimate for panel data, which is what experiments often … to find the number of types in the data, and that allows for the estimation of panel data models. It combines machine …
Persistent link: https://www.econbiz.de/10011977868
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Binarization for panel models with fixed effects
Botosaru, Irene; Muris, Chris - 2017
In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification …
Persistent link: https://www.econbiz.de/10011662786
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Inference on a distribution from noisy draws
Jochmans, Koen; Weidner, Martin - 2019
-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading …
Persistent link: https://www.econbiz.de/10012063831
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Inference on a distribution from noisy draws
Jochmans, Koen; Weidner, Martin - 2021
-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading …
Persistent link: https://www.econbiz.de/10012792731
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Design-robust two-way-fixed-effects regression for panel data
Arkhangelsky, Dmitry; Imbens, Guido; Lei, Lihua; Luo, … - In: Quantitative economics : QE ; journal of the … 15 (2024) 4, pp. 999-1034
We propose a new estimator for average causal effects of a binary treatment with panel data in settings with general …
Persistent link: https://www.econbiz.de/10015190081
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Micro responses to macro shocks
Almuzara, Martín; Sancibrián, Victor - 2024
We study estimation and inference in panel data regression models when the regressors of interest are macro shocks …
Persistent link: https://www.econbiz.de/10014501208
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Assessing and relaxing assumptions in quasi-simplex models
Cernat, Alexandru; Lugtig, Peter; Uhrig, S.C. Noah; … - 2014
reliability of survey measures. Using data from the British Household Panel Survey this paper shows how the assumptions of the …
Persistent link: https://www.econbiz.de/10010251137