Factor dimension determination for panel interactive effects models: an orthogonal projection approach

Cheng Hsiao, Yimeng Xie and Qiankun Zhou
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Yimeng Xie: University of Southern California, University Park

Computational Statistics, 2021, vol. 36, issue 2, No 30, 1497 pages

Abstract: Abstract We consider a computationally simple orthogonal projection method to implement the (Bai and Ng in Econometrica 70:191–221, 2002) information criterion to select the factor dimension for panel interactive effects models that bypasses issues arising from the joint estimation of the slope coefficients and factor structure. Our simulations show that it performs well in cases the method can be implemented.

Keywords: Factor dimensions; Projection matrix; Panel interactive model; Information criterion; Recursive Iteration (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00180-020-01059-y

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