Regime switching panel data models with interative fixed effects

Tingting Cheng (), Jiti Gao and Yayi Yan

No 21/18, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper, we introduce a regime switching panel data model with interactive fixed effects. We propose a maximum likelihood estimation method and develop an expectation and conditional maximization algorithm to estimate the unknown parameters. Simulation results show that the algorithm works well in finite samples. The biases of the maximum likelihood estimators are negligible and the root mean squared errors of the maximum likelihood estimators decrease with the increase of either cross-sectional units N or time periods T.

Keywords: ECM algorithm; interactive effect; maximum likelihood estimation; panel data model; regime switching. (search for similar items in EconPapers)
JEL-codes: C23 C32 (search for similar items in EconPapers)
Pages: 12
Date: 2018
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Journal Article: Regime switching panel data models with interactive fixed effects (2019)
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