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

Hyungsik Moon () and Martin Weidner

No CWP49/13, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: In this paper we study the least squares (LS) estimator in a linear panel regression model with interactive fixed effects for asymptotics where both the number of time periods and the number of cross-sectional units go to infinity. Under appropriate assumptions we show that the limiting distribution of the LS estimator for the regression coefficients is independent 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 inference on the regression coefficients one does not necessarily need to estimate the number of interactive effects consistently, but can rely on an upper bound of this number to calculate the LS estimator. Supplementary material for this paper is available here.

Date: 2013-10-04
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

Downloads: (external link)
http://www.cemmap.ac.uk/wps/cwp491313.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects (2015)
Working Paper: Linear regression for panel with unknown number of factors as interactive fixed effects (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:49/13

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().