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Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice

Guohua Feng, Bin Peng, Liangjun Su and Thomas Tao Yang

Journal of Econometrics, 2019, vol. 212, issue 2, 607-622

Abstract: In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the investigation of many economic issues. The asymptotic theories are established accordingly. Our Monte Carlo simulations show that our methodology works well for large N and T cases. In our empirical application, we illustrate our model by analysing the returns to scale of large commercial banks in the U.S.

Keywords: Nonlinear panel data model; Interactive fixed effects; Orthogonal series method (search for similar items in EconPapers)
JEL-codes: C14 C23 C51 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:212:y:2019:i:2:p:607-622

DOI: 10.1016/j.jeconom.2019.05.018

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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