Practical notes on panel data models with interactive effects

Jushan Bai and Kunpeng Li

MPRA Paper from University Library of Munich, Germany

Abstract: This note is intended for researchers who want to use the interactive effects model for empirical modeling. We consider how to estimate interactive effects models when some of the factors and factor loading are observable. Observable factors are common regressors which do not vary across individuals such as macroeconomic variables, but their regression coefficients are individual-dependent. Observable factor loadings correspond to time-invariant regressors such that race, gender and education, but their regression coefficients are time dependent. This note elaborates the estimation procedures in Bai (2009) in the presence of such regressors.

Keywords: observable factors; observable factor loadings; common regressors; time-invariant regressors (search for similar items in EconPapers)
JEL-codes: C33 C38 (search for similar items in EconPapers)
Date: 2017-09-01
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