.png){kind=icon}
返回
FIXED-EFFECTS DYNAMIC PANEL MODELS, A FACTOR ANALYTICAL METHOD
.png){kind=icon}
PRE
AI
DOI：10.3982/ECTA9409.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
We consider the estimation of dynamic panel data models in the presence of incidental parameters in both dimensions: individual fixed-effects and time fixed-effects, as well as incidental parameters in the variances. We adopt the factor analytical approach by estimating the sample variance of individual effects rather than the effects themselves. In the presence of cross-sectional heteroskedasticity, the factor method estimates the average of the cross-sectional variances instead of the individual variances. The method thereby eliminates the incidental-parameter problem in the means and in the variances over the cross-sectional dimension. We further show that estimating the time effects and heteroskedasticities in the time dimension does not lead to the incidental-parameter bias even when T and N are comparable. Moreover, efficient and robust estimation is obtained by jointly estimating heteroskedasticities.
Keyword:
Incidental parameters in means
incidental parameters in variances
fixed-T and large-T dynamic panels
heteroskedasticity
robust estimation
efficiency
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
