 Panel models with interactive effectsJournal of Econometrics, 2018, vol. 206, issue 2, 645-673 Abstract: The multiplication of individual specific effects, ▪ and time-specific effects, ▪ provides a more general formulation than the traditionally used additive form to capture the unobserved heterogeneity in panel data modeling. It is also a useful approach for dimension reduction for modeling cross-section dependence. However, ▪ and ▪ are unobservable. We explore the implications for econometric modeling under various formulations of the interactive effects models and suggest a quasi-likelihood approach as a common framework to study issues of estimation and statistical inference when regressors are either strictly exogenous or predetermined and under different combinations of the data size of cross-sectional dimension, N, and time series dimensions, T. We also suggest some computationally simpler estimation methods in light of the quasi-likelihood approach. Monte Carlo studies are conducted to highlight the issues involved. Keywords: Interactive effects; Static and dynamic models; Initial observations; Asymptotic bias (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:206:y:2018:i:2:p:645-673 DOI: 10.1016/j.jeconom.2018.06.017 Access Statistics for this article Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson More articles in Journal of Econometrics from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.