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Estimating three-dimensional nonlinear panel data models with interactive effects

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  • Xiaoqing Ye
  • Xiangjun Wu

Abstract

This article considers two three-step estimation approaches to three-dimensional nonlinear panel data models with interactive effects correlated with the independent variables. We propose a Nonlinear Least Squares-Principal Component Analysis-Grid Search iterated approach to estimate the static model, and a GMM-PCA-GS iterated method to the dynamic model. Monte Carlo experiments examine the finite sample performance of the methods.

Suggested Citation

  • Xiaoqing Ye & Xiangjun Wu, 2017. "Estimating three-dimensional nonlinear panel data models with interactive effects," Applied Economics Letters, Taylor & Francis Journals, vol. 24(10), pages 708-712, June.
    • Handle: RePEc:taf:apeclt:v:24:y:2017:i:10:p:708-712
    DOI: 10.1080/13504851.2016.1223807
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