Panel data models with multiple time-varying individual effects

Seung Ahn (), Young Hoon Lee and Peter Schmidt

Journal of Econometrics, 2013, vol. 174, issue 1, 1-14

Abstract: This paper considers a panel data model with time-varying individual effects. The data are assumed to contain a large number of cross-sectional units repeatedly observed over a fixed number of time periods. The model has a feature of the fixed-effects model in that the effects are assumed to be correlated with the regressors. The unobservable individual effects are assumed to have a factor structure. For consistent estimation of the model, it is important to estimate the true number of individual effects. We propose a generalized methods of moments procedure by which both the number of individual effects and the regression coefficients can be consistently estimated. Some important identification issues are also discussed. Our simulation results indicate that the proposed methods produce reliable estimates.

Keywords: Panel data; Time-varying individual effects; Factor models (search for similar items in EconPapers)
JEL-codes: C51 D24 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (128)

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Related works:
Working Paper: Panel Data Models with Multiple Time-Varying Individual Effects (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:174:y:2013:i:1:p:1-14

DOI: 10.1016/j.jeconom.2012.12.002

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