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The Estimation of Multi-dimensional Fixed Effects Panel Data Models

Author

Listed:
  • Laszlo Balazsi
  • Laszlo Matyas
  • Tom J. Wansbeek

Abstract

The paper introduces the appropriate within estimators for the most frequently used three-dimensional fixed effects panel data models. It analyzes the behavior of these estimators in the cases of no self-flow data, unbalanced data, and dynamic autoregressive models. The main results are then generalized for higher dimensional panel data sets as well.

Suggested Citation

  • Laszlo Balazsi & Laszlo Matyas & Tom J. Wansbeek, 2015. "The Estimation of Multi-dimensional Fixed Effects Panel Data Models," CESifo Working Paper Series 5251, CESifo.
  • Handle: RePEc:ces:ceswps:_5251
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    References listed on IDEAS

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    1. Baldwin, Richard & Taglioni, Daria, 2006. "Gravity for Dummies and Dummies for Gravity Equations," CEPR Discussion Papers 5850, C.E.P.R. Discussion Papers.
    2. Wansbeek, Tom & Kapteyn, Arie, 1989. "Estimation of the error-components model with incomplete panels," Journal of Econometrics, Elsevier, vol. 41(3), pages 341-361, July.
    3. Mark Harris & Laszlo Matyas & Patrick Sevestre, 2008. "Dynamic Models for Short Panels," Post-Print halshs-00279980, HAL.
    4. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626, December.
    5. Baltagi, Badi H. & Egger, Peter & Pfaffermayr, Michael, 2003. "A generalized design for bilateral trade flow models," Economics Letters, Elsevier, vol. 80(3), pages 391-397, September.
    6. Wansbeek, Tom, 1991. "Singular value decomposition of design matrices in ANOVA with balanced data," Statistics & Probability Letters, Elsevier, vol. 12(5), pages 441-441, November.
    7. Baier, Scott L. & Bergstrand, Jeffrey H., 2007. "Do free trade agreements actually increase members' international trade?," Journal of International Economics, Elsevier, vol. 71(1), pages 72-95, March.
    8. I-Hui Cheng & Howard J. Wall, 2005. "Controlling for heterogeneity in gravity models of trade and integration," Review, Federal Reserve Bank of St. Louis, vol. 87(Jan), pages 49-63.
    9. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
    10. Wansbeek, Tom, 1991. "Singular value decomposition of design matrices in ANOVA with balanced data," Statistics & Probability Letters, Elsevier, vol. 11(1), pages 33-36, January.
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    Cited by:

    1. Alderighi, Marco & Gaggero, Alberto A., 2017. "Fly and trade: Evidence from the Italian manufacturing industry," Economics of Transportation, Elsevier, vol. 9(C), pages 51-60.
    2. Dewatripont, Mathias & Ginsburgh, Victor & Goldman, Michel & Legros, Patrick & Natali, Ilaria, 2020. "Prescription Opioids and Economic Hardship in France," CEPR Discussion Papers 14403, C.E.P.R. Discussion Papers.

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    More about this item

    Keywords

    panel data; unbalanced panel; dynamic panel data model; multidimensional panel data; fixed effects; trade models; gravity models; FDI;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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