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Determination of Different Types of Fixed Effects in Three-Dimensional Panels

Xun Lu (), Ke Miao () and Liangjun Su
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Xun Lu: Hong Kong University of Science and Technology
Ke Miao: School of Economics, Singapore Management University

No 10-2018, Economics and Statistics Working Papers from Singapore Management University, School of Economics

Abstract: In this paper we propose a jackknife method to determine the type of fixed effects in three-dimensional panel data models. We show that with probability approaching 1, the method can select the correct type of fixed effects in the presence of only weak serial or cross-sectional dependence among the error terms. In the presence of strong serial correlation, we propose a modified jackknife method and justify its selection consistency. Monte Carlo simulations demonstrate the excellent finite sample performance of our method. Applications to two datasets in macroeconomics and international trade reveal the usefulness of our method.

Keywords: Consistency; Cross-validation; Fixed effect; Individual effect; Jackknife; Three-dimensional panel. (search for similar items in EconPapers)
JEL-codes: C23 C33 C51 C52 F17 F47 (search for similar items in EconPapers)
Pages: 72 pages
Date: 2018-04-23
New Economics Papers: this item is included in nep-ecm and nep-sea
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