Transformed Estimation for Panel Interactive Effects Models
Zhentao Shi and
Journal of Business & Economic Statistics, 2022, vol. 40, issue 4, 1831-1848
We propose a transformed estimator for the slope coefficients of panel models with interactive effects. The transformed estimation method does not require the prior knowledge of the dimension of factor structure. It is consistent and asymptotically normally distributed under fairly general conditions when N is fixed and T→∞ or T is fixed and N→∞, or when both N and T are large and NT→a≠0
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