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Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice

Author

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  • Feng, Guohua
  • Peng, Bin
  • Su, Liangjun
  • Yang, Thomas Tao

Abstract

In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the investigation of many economic issues. The asymptotic theories are established accordingly. Our Monte Carlo simulations show that our methodology works well for large N and T cases. In our empirical application, we illustrate our model by analysing the returns to scale of large commercial banks in the U.S.

Suggested Citation

  • Feng, Guohua & Peng, Bin & Su, Liangjun & Yang, Thomas Tao, 2019. "Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice," Journal of Econometrics, Elsevier, vol. 212(2), pages 607-622.
  • Handle: RePEc:eee:econom:v:212:y:2019:i:2:p:607-622
    DOI: 10.1016/j.jeconom.2019.05.018
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    Cited by:

    1. Fei Liu & Jiti Gao & Yanrong Yang, 2019. "Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness," Monash Econometrics and Business Statistics Working Papers 24/19, Monash University, Department of Econometrics and Business Statistics.

    More about this item

    Keywords

    Nonlinear panel data model; Interactive fixed effects; Orthogonal series method;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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