DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS

Content Provider	Scilit
Author	Moon, Hyungsik Roger Weidner, Martin
Copyright Year	2015
Description	We analyze linear panel regression models with interactive fixed effects and predetermined regressors, for example lagged-dependent variables. The first-order asymptotic theory of the least squares (LS) estimator of the regression coefficients is worked out in the limit where both the cross-sectional dimension and the number of time periods become large. We find two sources of asymptotic bias of the LS estimator: bias due to correlation or heteroscedasticity of the idiosyncratic error term, and bias due to predetermined (as opposed to strictly exogenous) regressors. We provide a bias-corrected LS estimator. We also present bias-corrected versions of the three classical test statistics (Wald, LR, and LM test) and show their asymptotic distribution is a $χ^{2}$-distribution. Monte Carlo simulations show the bias correction of the LS estimator and of the test statistics also work well for finite sample sizes.
Related Links	http://discovery.ucl.ac.uk/1549660/1/Weidner_Panel_Factor.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/CE84629C05BB652892D7B7659A1D5CD5/S0266466615000328a.pdf/div-class-title-dynamic-linear-panel-regression-models-with-interactive-fixed-effects-div.pdf
Ending Page	195
Page Count	38
Starting Page	158
ISSN	02664666
e-ISSN	14694360
DOI	10.1017/s0266466615000328
Journal	Econometric Theory
Issue Number	1
Volume Number	33
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2017-02-01
Access Restriction	Open
Subject Keyword	Econometric Theory Mathematical Social Sciences Corrected Ls Linear Panel Interactive Fixed Panel Regression
Content Type	Text
Resource Type	Article
Subject	Social Sciences Economics and Econometrics