IDEAS home Printed from https://ideas.repec.org/p/ceu/econwp/2014_1.html
   My bibliography  Save this paper

The Estimation of Multi-dimensional Fixed Effects Panel Data Models

Author

Listed:
  • László Balázsi
  • László Mátyás
  • Tom Wansbeek

Abstract

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

Suggested Citation

  • László Balázsi & László Mátyás & Tom Wansbeek, 2014. "The Estimation of Multi-dimensional Fixed Effects Panel Data Models," CEU Working Papers 2014_1, Department of Economics, Central European University, revised 10 Feb 2014.
    • Handle: RePEc:ceu:econwp:2014_1
    as

    Download full text from publisher

    File URL: https://ceu-economics-and-business.github.io/RePEc/pdf/2014_1.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Mark Harris & Laszlo Matyas & Patrick Sevestre, 2008. "Dynamic Models for Short Panels," Post-Print halshs-00279980, HAL.
    2. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626, Enero-Abr.
    3. 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.
    4. Laszlo Matyas, 1997. "Proper Econometric Specification of the Gravity Model," The World Economy, Wiley Blackwell, vol. 20(3), pages 363-368, May.
    5. 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.
    6. Richard Baldwin & Daria Taglioni, 2006. "Gravity for Dummies and Dummies for Gravity Equations," NBER Working Papers 12516, National Bureau of Economic Research, Inc.
    7. 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.
    8. 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.
    9. László Mátyás & Patrick Sevestre (ed.), 2008. "The Econometrics of Panel Data," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75892-1, January.
    10. Cecília Hornok, 2011. "Gravity or Dummies? The Limits of Identification in Gravity Estimations," CeFiG Working Papers 15, Center for Firms in the Global Economy, revised 26 Sep 2011.
    11. 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.
    12. Patrick Sevestre & Laszlo Matyas, 2008. "The Econometrics of Panel Data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00279977, HAL.
    13. Peter Egger & Michael Pfaffermayr, 2003. "The proper panel econometric specification of the gravity equation: A three-way model with bilateral interaction effects," Empirical Economics, Springer, vol. 28(3), pages 571-580, July.
    14. Davis, Peter, 2002. "Estimating multi-way error components models with unbalanced data structures," Journal of Econometrics, Elsevier, vol. 106(1), pages 67-95, January.
    15. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
    16. 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.
    17. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Matyas, Laszlo & Balazsi, Laszlo, 2011. "The estimation of three-dimensional fixed effects panel data models," MPRA Paper 34976, University Library of Munich, Germany.
    2. László Mátyás & Cecilia Hornok & Daria Pus, 2012. "The Formulation and Estimation of Random Effects Panel Data Models of Trade," CEU Working Papers 2012_1, Department of Economics, Central European University, revised 25 Mar 2013.
    3. Laszlo Matyas (ed.), 2017. "The Econometrics of Multi-dimensional Panels," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-319-60783-2, January.
    4. Durand, Robert B. & Greene, William H. & Harris, Mark N. & Khoo, Joye, 2022. "Heterogeneity in speed of adjustment using finite mixture models," Economic Modelling, Elsevier, vol. 107(C).
    5. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2014. "Panel Data Gravity Models of International Trade," CESifo Working Paper Series 4616, CESifo.
    6. Alexander Klemm & Stefan Parys, 2012. "Empirical evidence on the effects of tax incentives," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(3), pages 393-423, June.
    7. Gil-Pareja, Salvador & Llorca-Vivero, Rafael, 2017. "El comercio exterior de España y el proceso de Integración Europea /The Foreign trade of Spain and the European Integration Process," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 35, pages 63-84, Enero.
    8. Alberini, Anna & Filippini, Massimo, 2011. "Response of residential electricity demand to price: The effect of measurement error," Energy Economics, Elsevier, vol. 33(5), pages 889-895, September.
    9. Eicher, Theo S. & Henn, Christian, 2011. "In search of WTO trade effects: Preferential trade agreements promote trade strongly, but unevenly," Journal of International Economics, Elsevier, vol. 83(2), pages 137-153, March.
    10. Badi H. Baltagi, 2021. "Dynamic Panel Data Models," Springer Texts in Business and Economics, in: Econometric Analysis of Panel Data, edition 6, chapter 0, pages 187-228, Springer.
    11. P. Montalbano & S. Nenci, 2014. "Assessing the trade impact of the European Neighbourhood Policy on the EU-MED Free Trade Area," Applied Economics, Taylor & Francis Journals, vol. 46(7), pages 730-740, March.
    12. María Pía Olivero & Yoto V. Yotov, 2012. "Dynamic gravity: endogenous country size and asset accumulation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(1), pages 64-92, February.
    13. Mitze, Timo & Alecke, Björn & Untiedt, Gerhard, 2008. "Trade, FDI and Cross-Variable Linkages: A German (Macro-)Regional Perspective," MPRA Paper 12245, University Library of Munich, Germany.
    14. Cecília Hornok, 2011. "Gravity or Dummies? The Limits of Identification in Gravity Estimations," CeFiG Working Papers 15, Center for Firms in the Global Economy, revised 26 Sep 2011.
    15. Blázquez, Leticia & Boogen, Nina & Filippini, Massimo, 2013. "Residential electricity demand in Spain: New empirical evidence using aggregate data," Energy Economics, Elsevier, vol. 36(C), pages 648-657.
    16. Kostakis, Ioannis & Lolos, Sarantis & Sardianou, Eleni, 2021. "Residential natural gas demand: Assessing the evidence from Greece using pseudo-panels, 2012–2019," Energy Economics, Elsevier, vol. 99(C).
    17. Elif Nuroğlu & Robert Kunst, 2014. "Competing specifications of the gravity equation: a three-way model, bilateral interaction effects, or a dynamic gravity model with time-varying country effects?," Empirical Economics, Springer, vol. 46(2), pages 733-741, March.
    18. Maria Cipollina & Luca De Benedictis & Luca Salvatici & Claudio Vicarelli, 2016. "Policy Measurement And Multilateral Resistance In Gravity Models," Working Papers LuissLab 16130, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    19. Daria Pus & László Mátyás & Cecilia Hornok, 2013. "Modelling Firm-Product Level Trade: A Multi-Dimensional Random Effects Panel Data Approach," CEU Working Papers 2013_2, Department of Economics, Central European University, revised 08 May 2013.
    20. Wessel, Jan, 2019. "Evaluating the transport-mode-specific trade effects of different transport infrastructure types," Transport Policy, Elsevier, vol. 78(C), pages 42-57.

    More about this item

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ceu:econwp:2014_1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Anita Apor (email available below). General contact details of provider: https://edirc.repec.org/data/deceuat.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.