Estimating three-dimensional nonlinear panel data models with interactive effects

Xiaoqing Ye and Xiangjun Wu

Applied Economics Letters, 2017, vol. 24, issue 10, 708-712

Abstract: This article considers two three-step estimation approaches to three-dimensional nonlinear panel data models with interactive effects correlated with the independent variables. We propose a Nonlinear Least Squares-Principal Component Analysis-Grid Search iterated approach to estimate the static model, and a GMM-PCA-GS iterated method to the dynamic model. Monte Carlo experiments examine the finite sample performance of the methods.

Date: 2017
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DOI: 10.1080/13504851.2016.1223807

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