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Robust interactive fixed effects

Author

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  • Boudt, Kris
  • Heyndels, Ewoud

Abstract

Robust estimators are proposed for the interactive fixed effects panel data model. In each iteration of the estimation algorithm the coefficients of the observable variables are estimated with robust regressions and the latent factors are extracted with robust principal component analysis. The reliability of the proposed procedure is documented in an extensive simulation study. The procedure is applied to cluster annual income growth time series of Belgian independents.

Suggested Citation

  • Boudt, Kris & Heyndels, Ewoud, 2024. "Robust interactive fixed effects," Econometrics and Statistics, Elsevier, vol. 29(C), pages 206-223.
    • Handle: RePEc:eee:ecosta:v:29:y:2024:i:c:p:206-223
    DOI: 10.1016/j.ecosta.2022.01.002
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