Three-dimensional panel data models with interactive effects: Estimation and simulation

Xiaoqing Ye and Xiangjun Wu

Economics Letters, 2014, vol. 123, issue 1, 62-65

Abstract: This paper considers three-dimensional panel data models with unobservable multiple interactive effects, which are potentially correlated with the covariates. We propose an iterated OLS (IOLS) approach for the estimation of the static model and an iterated GMM (IGMM) method for the dynamic model. Monte Carlo simulations illustrate that our methods perform well in finite samples.

Keywords: Three-dimensional panel data models; Interactive effects; Iterated OLS; Iterated GMM (search for similar items in EconPapers)
JEL-codes: C23 C26 C63 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:1:p:62-65

DOI: 10.1016/j.econlet.2014.01.017

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