Recursive estimation in large panel data models: Theory and practice

Bin Jiang

doi:10.1016/j.jeconom.2020.07.055

Recursive estimation in large panel data models: Theory and practice

2021-10-01

14

OA

AI

DOI：10.1016/j.jeconom.2020.07.055

原文链接

查看原文

摘要

En 中文

Bai (2009) proposes recursive estimation for panel data models with interactive effects. We study the behaviours of this recursive estimator. The recursive formula is established that shows the behaviours of recursive estimators depend on the initial estimator, the population structure and the iterative steps. Under some general scenarios, we find that the recursive estimator becomes consistent after the first iteration from any initials. We also obtain the optimal number of iterative steps under some prescribed conditions. The central limit theorem of the recursive estimator is established when the initial estimator is OLS. Various simulations are conducted to support our theoretical findings. (C) 2020 Elsevier B.V. All rights reserved.

Keyword:

Factor model

Initial estimation

Multiplicative structure

Nonlinear optimization

Recursive estimation in large panel data models: Theory and practice

摘要

AI总结

期刊

机构