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

Author

Listed:
  • Cheng Hsiao

    (University of Southern California, University Park
    WISE, Xiamen University)

  • Yimeng Xie

    (University of Southern California, University Park)

  • Qiankun Zhou

    (Louisiana State University)

Abstract

We consider a computationally simple orthogonal projection method to implement the (Bai and Ng in Econometrica 70:191–221, 2002) information criterion to select the factor dimension for panel interactive effects models that bypasses issues arising from the joint estimation of the slope coefficients and factor structure. Our simulations show that it performs well in cases the method can be implemented.

Suggested Citation

  • Cheng Hsiao & Yimeng Xie & Qiankun Zhou, 2021. "Factor dimension determination for panel interactive effects models: an orthogonal projection approach," Computational Statistics, Springer, vol. 36(2), pages 1481-1497, June.
    • Handle: RePEc:spr:compst:v:36:y:2021:i:2:d:10.1007_s00180-020-01059-y
    DOI: 10.1007/s00180-020-01059-y
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    References listed on IDEAS

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