Factor dimension determination for panel interactive effects models: an orthogonal projection approach

DOI10.1007/S00180-020-01059-YzbMath1505.62190OpenAlexW3122235712MaRDI QIDQ2033299

Yimeng Xie, Qiankun Zhou, Cheng Hsiao

Publication date: 16 June 2021

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-020-01059-y

zbMATH Keywords

information criterionprojection matrixfactor dimensionspanel interactive modelrecursive iteration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05)

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Cites Work

• Projection matrices, generalized inverse matrices, and singular value decomposition.
• Improved penalization for determining the number of factors in approximate factor models
• Shrinkage estimation of dynamic panel data models with interactive fixed effects
• Panel models with interactive effects
• Linear models. Least squares and alternatives
• Identifying Technology Spillovers and Product Market Rivalry
• Analysis of Panel Data
• DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
• Panel Data Models With Interactive Fixed Effects
• Determining the Number of Factors in Approximate Factor Models

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