Moment-based estimation of linear panel data models with factor-augmented errors
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Publication:6656777
DOI10.1515/JEM-2023-0050MaRDI QIDQ6656777
Publication date: 3 January 2025
Published in: Journal of Econometric Methods (Search for Journal in Brave)
factor modelscommon correlated effectscorrelated random coefficientsfixed-\(T\)quasi-long-differencing
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Panel data methods for fractional response variables with an application to test pass rates
- Panel data models with multiple time-varying individual effects
- On the role of the rank condition in CCE estimation of factor-augmented panel regressions
- Identification problem of GMM estimators for short panel data models with interactive fixed effects
- Estimation of heterogeneous panels with systematic slope variations
- Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
- Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
- 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
- CCE in heterogenous fixed-T panels
- A Test for Slope Heterogeneity in Fixed Effects Models
- On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects
- Fixed T dynamic panel data estimators with multifactor errors
- Testing factors in CCE
- Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
- A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors
- Testing for Slope Heterogeneity Bias in Panel Data Models
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