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Linear regression for panel with unknown number of factors as interactive fixed effects

Citations

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Cited by:

  1. Fernández-Val, Iván & Weidner, Martin, 2016. "Individual and time effects in nonlinear panel models with large N, T," Journal of Econometrics, Elsevier, vol. 192(1), pages 291-312.
  2. Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
  3. Qu, Xi & Lee, Lung-fei & Yang, Chao, 2021. "Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables," Journal of Econometrics, Elsevier, vol. 221(1), pages 180-197.
  4. Ma, Shujie & Su, Liangjun, 2018. "Estimation of large dimensional factor models with an unknown number of breaks," Journal of Econometrics, Elsevier, vol. 207(1), pages 1-29.
  5. Ryan Rafaty & Geoffroy Dolphin & Felix Pretis, 2020. "Carbon pricing and the elasticity of CO2 emissions," Working Papers EPRG2035, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
  6. Bai, Jushan, 2013. "Likelihood approach to dynamic panel models with interactive effects," MPRA Paper 50267, University Library of Munich, Germany.
  7. Jörg Breitung & Philipp Hansen, 2021. "Alternative estimation approaches for the factor augmented panel data model with small T," Empirical Economics, Springer, vol. 60(1), pages 327-351, January.
  8. Johannes Boehm, 2014. "The Impact of Contract Enforcement Costs on Outsourcing and Aggregate Productivity," 2014 Meeting Papers 340, Society for Economic Dynamics.
  9. Tingting Cheng & Chaohua Dong & Jiti Gao & Oliver Linton, 2022. "GMM Estimation for High-Dimensional Panel Data Models," Monash Econometrics and Business Statistics Working Papers 11/22, Monash University, Department of Econometrics and Business Statistics.
  10. Hansen, Christian & Liao, Yuan, 2019. "The Factor-Lasso And K-Step Bootstrap Approach For Inference In High-Dimensional Economic Applications," Econometric Theory, Cambridge University Press, vol. 35(3), pages 465-509, June.
  11. Wei Shi & Lung-fei Lee, 2018. "The effects of gun control on crimes: a spatial interactive fixed effects approach," Empirical Economics, Springer, vol. 55(1), pages 233-263, August.
  12. Su, Liangjun & Jin, Sainan & Zhang, Yonghui, 2015. "Specification test for panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
  13. Ando, Tomohiro & Bai, Jushan & Li, Kunpeng, 2022. "Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 230(1), pages 20-38.
  14. Jiti Gao & Bin Peng & Yayi Yan, 2022. "Higher-order Expansions and Inference for Panel Data Models," Papers 2205.00577, arXiv.org, revised Jun 2023.
  15. Johannes Boehm & Ezra Oberfield, 2020. "Misallocation in the Market for Inputs: Enforcement and the Organization of Production," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(4), pages 2007-2058.
  16. Norkutė, Milda & Sarafidis, Vasilis & Yamagata, Takashi & Cui, Guowei, 2021. "Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure," Journal of Econometrics, Elsevier, vol. 220(2), pages 416-446.
  17. Daniel Czarnowske & Amrei Stammann, 2020. "Inference in Unbalanced Panel Data Models with Interactive Fixed Effects," Papers 2004.03414, arXiv.org.
  18. Liu, Ruiqi & Shang, Zuofeng & Zhang, Yonghui & Zhou, Qiankun, 2020. "Identification and estimation in panel models with overspecified number of groups," Journal of Econometrics, Elsevier, vol. 215(2), pages 574-590.
  19. Jiang, Bin & Yang, Yanrong & Gao, Jiti & Hsiao, Cheng, 2021. "Recursive estimation in large panel data models: Theory and practice," Journal of Econometrics, Elsevier, vol. 224(2), pages 439-465.
  20. Callaway, Brantly & Karami, Sonia, 2023. "Treatment effects in interactive fixed effects models with a small number of time periods," Journal of Econometrics, Elsevier, vol. 233(1), pages 184-208.
  21. Chudik, Alexander & Pesaran, M. Hashem, 2015. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
  22. Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
  23. Barbosa, José Diogo & Moreira, Marcelo J., 2021. "Likelihood inference and the role of initial conditions for the dynamic panel data model," Journal of Econometrics, Elsevier, vol. 221(1), pages 160-179.
  24. Nicholas Brown & Kyle Butts & Joakim Westerlund, 2023. "Simple Difference-in-Differences Estimation in Fixed-T Panels," Papers 2301.11358, arXiv.org, revised Jun 2023.
  25. Juodis, Artūras & Karabiyik, Hande & Westerlund, Joakim, 2021. "On the robustness of the pooled CCE estimator," Journal of Econometrics, Elsevier, vol. 220(2), pages 325-348.
  26. Bin Peng & Liangjun Su & Joakim Westerlund & Yanrong Yang, 2021. "Interactive Effects Panel Data Models with General Factors and Regressors," Monash Econometrics and Business Statistics Working Papers 23/21, Monash University, Department of Econometrics and Business Statistics.
  27. Wang,Dieter, 2021. "Natural Capital and Sovereign Bonds," Policy Research Working Paper Series 9606, The World Bank.
  28. Laurent Gobillon & Thierry Magnac, 2016. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," The Review of Economics and Statistics, MIT Press, vol. 98(3), pages 535-551, July.
  29. Moon, Hyungsik Roger & Shum, Matthew & Weidner, Martin, 2018. "Estimation of random coefficients logit demand models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 613-644.
  30. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
  31. Moon, Hyungsik Roger & Weidner, Martin, 2017. "Dynamic Linear Panel Regression Models With Interactive Fixed Effects," Econometric Theory, Cambridge University Press, vol. 33(1), pages 158-195, February.
  32. 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.
  33. Otilia Boldea & Bettina Drepper & Zhuojiong Gan, 2020. "Change point estimation in panel data with time‐varying individual effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 712-727, September.
  34. Joakim Westerlund, 2020. "A cross‐section average‐based principal components approach for fixed‐T panels," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 776-785, September.
  35. Hyungsik Roger Moon & Martin Weidner, 2018. "Nuclear Norm Regularized Estimation of Panel Regression Models," Papers 1810.10987, arXiv.org, revised Jun 2023.
  36. Keegan Harris & Anish Agarwal & Chara Podimata & Zhiwei Steven Wu, 2022. "Strategyproof Decision-Making in Panel Data Settings and Beyond," Papers 2211.14236, arXiv.org, revised Dec 2023.
  37. Horváth, Lajos & Trapani, Lorenzo, 2016. "Statistical inference in a random coefficient panel model," Journal of Econometrics, Elsevier, vol. 193(1), pages 54-75.
  38. Zongwu Cai & Ying Fang & Qiuhua Xu, 2020. "Testing Capital Asset Pricing Models using Functional-Coefficient Panel Data Models with Cross-Sectional Dependence," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202009, University of Kansas, Department of Economics, revised Jul 2020.
  39. Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2017. "Identification and estimation of a large factor model with structural instability," Journal of Econometrics, Elsevier, vol. 197(1), pages 87-100.
  40. Jiti Gao & Bin Peng & Yayi Yan, 2022. "Nonparametric Estimation and Testing for Time-Varying VAR Models," Monash Econometrics and Business Statistics Working Papers 3/22, Monash University, Department of Econometrics and Business Statistics.
  41. Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
  42. Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
  43. Brown, Nicholas & Westerlund, Joakim, 2023. "Testing factors in CCE," Economics Letters, Elsevier, vol. 230(C).
  44. Susan Athey & Mohsen Bayati & Nikolay Doudchenko & Guido Imbens & Khashayar Khosravi, 2021. "Matrix Completion Methods for Causal Panel Data Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(536), pages 1716-1730, October.
  45. Ginama, Isamu & Hayakawa, Kazuhiko & Kanmei, Takahiro, 2018. "Examining the Feldstein–Horioka puzzle using common factor panels and interval estimation," Japan and the World Economy, Elsevier, vol. 48(C), pages 11-21.
  46. Vogt, M. & Walsh, C. & Linton, O., 2022. "CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects," Janeway Institute Working Papers 2218, Faculty of Economics, University of Cambridge.
  47. Su, Liangjun & Ju, Gaosheng, 2018. "Identifying latent grouped patterns in panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 554-573.
  48. Gobillon, Laurent & Wolff, François-Charles, 2020. "The local effects of an innovation: Evidence from the French fish market," Ecological Economics, Elsevier, vol. 171(C).
  49. Cheng, Tingting & Gao, Jiti & Yan, Yayi, 2019. "Regime switching panel data models with interactive fixed effects," Economics Letters, Elsevier, vol. 177(C), pages 47-51.
  50. Junlong Feng, 2019. "Regularized Quantile Regression with Interactive Fixed Effects," Papers 1911.00166, arXiv.org, revised Mar 2021.
  51. Dmitry Arkhangelsky & Guido Imbens, 2023. "Causal Models for Longitudinal and Panel Data: A Survey," Papers 2311.15458, arXiv.org, revised Mar 2024.
  52. Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2021. "Nonstationary panel models with latent group structures and cross-section dependence," Journal of Econometrics, Elsevier, vol. 221(1), pages 198-222.
  53. Hugo Freeman & Martin Weidner, 2021. "Linear Panel Regressions with Two-Way Unobserved Heterogeneity," Papers 2109.11911, arXiv.org, revised Aug 2022.
  54. Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
  55. Markus Eberhardt & Francis Teal, 2020. "The Magnitude of the Task Ahead: Macro Implications of Heterogeneous Technology," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 66(2), pages 334-360, June.
  56. Pigini, Claudia & Pionati, Alessandro & Valentini, Francesco, 2023. "Specification testing with grouped fixed effects," MPRA Paper 117821, University Library of Munich, Germany.
  57. Lucciano Villacorta, 2016. "Estimating Country Heterogeneity in Capital - Labor Substitution Using Panel Data," Working Papers Central Bank of Chile 788, Central Bank of Chile.
  58. Yufeng Mao & Bin Peng & Mervyn J Silvapulle & Param Silvapulle & Yanrong Yang, 2021. "Decomposition of Bilateral Trade Flows Using a Three-Dimensional Panel Data Model," Monash Econometrics and Business Statistics Working Papers 7/21, Monash University, Department of Econometrics and Business Statistics.
  59. Lena Janys & Bettina Siflinger, 2021. "Mental Health and Abortions among Young Women: Time-Varying Unobserved Heterogeneity, Health Behaviors, and Risky Decisions," ECONtribute Discussion Papers Series 083, University of Bonn and University of Cologne, Germany.
  60. Saman Banafti & Tae-Hwy Lee, 2022. "Inferential Theory for Granular Instrumental Variables in High Dimensions," Working Papers 202203, University of California at Riverside, Department of Economics.
  61. Milda Norkuté & Vasilis Sarafidis & Takashi Yamagata, 2018. "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure," ISER Discussion Paper 1019, Institute of Social and Economic Research, Osaka University.
  62. Guo, Xiao & Chen, Yu & Tang, Cheng Yong, 2023. "Information criteria for latent factor models: A study on factor pervasiveness and adaptivity," Journal of Econometrics, Elsevier, vol. 233(1), pages 237-250.
  63. Dmitry Arkhangelsky & David Hirshberg, 2023. "Large-Sample Properties of the Synthetic Control Method under Selection on Unobservables," Papers 2311.13575, arXiv.org, revised Dec 2023.
  64. Guowei Cui & Milda NorkutÄ— & Vasilis Sarafidis & Takashi Yamagata, 2022. "Two-stage instrumental variable estimation of linear panel data models with interactive effects [Eigenvalue ratio test for the number of factors]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 340-361.
  65. Ergemen, Yunus Emre & Velasco, Carlos, 2017. "Estimation of fractionally integrated panels with fixed effects and cross-section dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 248-258.
  66. Fan, Jianqing & Ke, Yuan & Liao, Yuan, 2021. "Augmented factor models with applications to validating market risk factors and forecasting bond risk premia," Journal of Econometrics, Elsevier, vol. 222(1), pages 269-294.
  67. Yufeng Mao & Bin Peng & Mervyn Silvapulle & Param Silvapulle & Yanrong Yang, 2021. "Decomposition of Bilateral Trade Flows Using a Three-Dimensional Panel Data Model," Papers 2101.06805, arXiv.org.
  68. Georg Keilbar & Juan M. Rodriguez-Poo & Alexandra Soberon & Weining Wang, 2022. "A semiparametric approach for interactive fixed effects panel data models," Papers 2201.11482, arXiv.org, revised Mar 2023.
  69. Ivan Fernandez-Val & Martin Weidner, 2014. "Individual and time effects in nonlinear panel models with large N , T," CeMMAP working papers 32/14, Institute for Fiscal Studies.
  70. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
  71. Degui Li & Junhui Qian & Liangjun Su, 2016. "Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1804-1819, October.
  72. Hyungsik Roger Moon & Matthew Shum & Martin Weidner, 2017. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers 12/17, Institute for Fiscal Studies.
  73. Vogt, M. & Walsh, C. & Linton, O., 2022. "CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects," Cambridge Working Papers in Economics 2242, Faculty of Economics, University of Cambridge.
  74. Edith Aguirre, 2019. "Do changes in divorce legislation have an impact on divorce rates? The case of unilateral divorce in Mexico," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 28(1), pages 1-24, December.
  75. Jiangtao Duan & Wei Gao & Hao Qu & Hon Keung Tony, 2019. "Subspace Clustering for Panel Data with Interactive Effects," Papers 1909.09928, arXiv.org, revised Feb 2021.
  76. Cheng Hsiao & Yimeng Xie & Qiankun Zhou, 2021. "Factor dimension determination for panel interactive effects models: an orthogonal projection approach," Computational Statistics, Springer, vol. 36(2), pages 1481-1497, June.
  77. Ayden Higgins, 2021. "Fixed $T$ Estimation of Linear Panel Data Models with Interactive Fixed Effects," Papers 2110.05579, arXiv.org.
  78. Norkutė, Milda & Westerlund, Joakim, 2021. "The factor analytical approach in near unit root interactive effects panels," Journal of Econometrics, Elsevier, vol. 221(2), pages 569-590.
  79. Guido M. Kuersteiner & Ingmar R. Prucha, 2020. "Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity," Econometrica, Econometric Society, vol. 88(5), pages 2109-2146, September.
  80. Yinchu Zhu, 2019. "How well can we learn large factor models without assuming strong factors?," Papers 1910.10382, arXiv.org, revised Nov 2019.
  81. Hugo Freeman & Martin Weidner, 2021. "Linear panel regressions with two-way unobserved heterogeneity," CeMMAP working papers CWP39/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  82. Andres Sagner, 2020. "High Dimensional Quantile Factor Analysis," Working Papers Central Bank of Chile 886, Central Bank of Chile.
  83. Matteo Picchio, 2021. "Microchip bags and waste sorting," Working Papers 449, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  84. Hiroaki Kaido & Kaspar Wüthrich, 2021. "Decentralization estimators for instrumental variable quantile regression models," Quantitative Economics, Econometric Society, vol. 12(2), pages 443-475, May.
  85. Artūras Juodis, 2018. "Pseudo Panel Data Models With Cohort Interactive Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 47-61, January.
  86. Sainan Jin & Liangjun Su & Yonghui Zhang, 2015. "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
  87. Evan Totty, 2017. "The Effect Of Minimum Wages On Employment: A Factor Model Approach," Economic Inquiry, Western Economic Association International, vol. 55(4), pages 1712-1737, October.
  88. Cai, Zongwu & Fang, Ying & Xu, Qiuhua, 2022. "Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 227(1), pages 114-133.
  89. Liang Chen & Minyuan Zhang, 2023. "Common Correlated Effects Estimation of Nonlinear Panel Data Models," Papers 2304.13199, arXiv.org.
  90. George Kapetanios & Laura Serlenga & Yongcheol Shin, 2023. "Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects," Empirical Economics, Springer, vol. 64(6), pages 2611-2659, June.
  91. Chen, Mingli & Fernández-Val, Iván & Weidner, Martin, 2021. "Nonlinear factor models for network and panel data," Journal of Econometrics, Elsevier, vol. 220(2), pages 296-324.
  92. Michael Vogt & Christopher Walsh & Oliver Linton, 2022. "CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects," Papers 2206.12152, arXiv.org.
  93. Harouna Sedgo & Luc Désiré Omgba, 2023. "Corruption and distortion of public expenditures: evidence from Africa," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 30(2), pages 419-452, April.
  94. Vivek F. Farias & Andrew A. Li & Tianyi Peng, 2021. "Learning Treatment Effects in Panels with General Intervention Patterns," Papers 2106.02780, arXiv.org, revised Mar 2023.
  95. repec:hal:spmain:info:hdl:2441/3lt9cev6r09aqpj1a1248i83gg is not listed on IDEAS
  96. repec:hal:wpspec:info:hdl:2441/3lt9cev6r09aqpj1a1248i83gg is not listed on IDEAS
  97. Zhenhao Gong & Min Seong Kim, 2024. "Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects," Working papers 2024-01, University of Connecticut, Department of Economics.
  98. Matteo Picchio, 2023. "Microchipped bags and waste sorting," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 25(1), pages 1-30, January.
  99. Yana Petrova & Joakim Westerlund, 2020. "Fixed effects demeaning in the presence of interactive effects in treatment effects regressions and elsewhere," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(7), pages 960-964, November.
  100. Miao, Ke & Li, Kunpeng & Su, Liangjun, 2020. "Panel threshold models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 219(1), pages 137-170.
  101. George Kapetanios & Laura Serlenga & Yongcheol Shin, 2019. "Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels," SERIES 02-2019, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Jun 2019.
  102. Chan, Mark K. & Kwok, Simon, 2016. "Policy Evaluation with Interactive Fixed Effects," Working Papers 2016-11, University of Sydney, School of Economics.
  103. Lu'is A. V. Cat~ao & Jan Ditzen & Daniel Marcel te Kaat, 2023. "Global Factors in Non-core Bank Funding and Exchange Rate Flexibility," Papers 2310.11552, arXiv.org, revised Jan 2024.
  104. Ruofan Xu & Jiti Gao & Tatsushi Oka & Yoon-Jae Whang, 2022. "Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects," Papers 2208.03632, arXiv.org, revised Apr 2023.
  105. Hsiao, Cheng, 2018. "Panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 645-673.
  106. Johannes Boehm, 2020. "The Impact of Contract Enforcement Costs on Outsourcing and Aggregate Productivity," SciencePo Working papers hal-03566762, HAL.
  107. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
  108. Jose Diogo Barbosa & Marcelo Moreira, 2017. "Likelihood inference and the role of initial conditions for the dynamic panel data model," CeMMAP working papers 04/17, Institute for Fiscal Studies.
  109. repec:hal:spmain:info:hdl:2441/185h5h2nvv9lqr7nmeddt9uu5l is not listed on IDEAS
  110. Robert Donnelly & Francisco J.R. Ruiz & David Blei & Susan Athey, 2021. "Counterfactual inference for consumer choice across many product categories," Quantitative Marketing and Economics (QME), Springer, vol. 19(3), pages 369-407, December.
  111. Yong Cai, 2021. "Panel Data with Unknown Clusters," Papers 2106.05503, arXiv.org, revised Jan 2022.
  112. Jie Wei & Yonghui Zhang, 2022. "Panel Probit Models with Time‐Varying Individual Effects: Reestimating the Effects of Fertility on Female Labour Participation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(4), pages 799-829, August.
  113. Yang Shen & Xiaoyang Guo & Xiuwu Zhang, 2023. "Digital Financial Inclusion, Land Transfer, and Agricultural Green Total Factor Productivity," Sustainability, MDPI, vol. 15(8), pages 1-25, April.
  114. Jiti Gao & Fei Liu & Bin peng, 2020. "Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 44/20, Monash University, Department of Econometrics and Business Statistics.
  115. Marco Avarucci & Paolo Zaffaroni, 2019. "Robust Nearly-Efficient Estimation of Large Panels with Factor Structures," Papers 1902.11181, arXiv.org.
  116. Ye, Xiaoqing & Xu, Juan & Wu, Xiangjun, 2018. "Estimation of an unbalanced panel data Tobit model with interactive effects," Journal of choice modelling, Elsevier, vol. 28(C), pages 108-123.
  117. Ayden Higgins & Federico Martellosio, 2019. "Shrinkage Estimation of Network Spillovers with Factor Structured Errors," Papers 1909.02823, arXiv.org, revised Nov 2021.
  118. Anish Agarwal & Vasilis Syrgkanis, 2022. "Synthetic Blip Effects: Generalizing Synthetic Controls for the Dynamic Treatment Regime," Papers 2210.11003, arXiv.org.
  119. Peter Backus & Thien Nguyen, 2021. "The Effect of the Sex Buyer Law on the Market for Sex, Sexual Health and Sexual Violence," Economics Discussion Paper Series 2106, Economics, The University of Manchester.
  120. De Vos, Ignace & Westerlund, Joakim, 2019. "On CCE estimation of factor-augmented models when regressors are not linear in the factors," Economics Letters, Elsevier, vol. 178(C), pages 5-7.
  121. Ivan Fernandez-Val & Martin Weidner, 2013. "Individual and time effects in nonlinear panel models with large N, T," CeMMAP working papers 60/13, Institute for Fiscal Studies.
  122. repec:hal:wpspec:info:hdl:2441/1uut5itepl9q5osfl3tj7qatje is not listed on IDEAS
  123. Bai, Jushan & Li, Kunpeng, 2021. "Dynamic spatial panel data models with common shocks," Journal of Econometrics, Elsevier, vol. 224(1), pages 134-160.
  124. Guido W. Imbens & Davide Viviano, 2023. "Identification and Inference for Synthetic Controls with Confounding," Papers 2312.00955, arXiv.org.
  125. Jiti Gao & Bin Peng & Yayi Yan, 2022. "A Simple Bootstrap Method for Panel Data Inferences," Monash Econometrics and Business Statistics Working Papers 7/22, Monash University, Department of Econometrics and Business Statistics.
  126. Laurent Gobillon & François-Charles Wolff, 2015. "Évaluer l’effet des politiques publiques locales avec les contrôles synthétiques et les modèles à facteurs : Une application au marché du poisson français," PSE Working Papers halshs-01183455, HAL.
  127. Guohua Feng & Jiti Gao & Bin Peng, 2021. "Productivity Convergence in Manufacturing: A Hierarchical Panel Data Approach," Papers 2111.00449, arXiv.org.
  128. Dai, Chaoxing & Lu, Kun & Xiu, Dacheng, 2019. "Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data," Journal of Econometrics, Elsevier, vol. 208(1), pages 43-79.
  129. Hyungsik Roger Roger Moon & Martin Weidner, 2013. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers 63/13, Institute for Fiscal Studies.
  130. Liu, Hao, 2019. "The communication and European Regional economic growth: The interactive fixed effects approach," Economic Modelling, Elsevier, vol. 83(C), pages 299-311.
  131. Shi, Wei & Lee, Lung-fei, 2017. "Spatial dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 197(2), pages 323-347.
  132. Lu, Xun & Su, Liangjun, 2023. "Uniform inference in linear panel data models with two-dimensional heterogeneity," Journal of Econometrics, Elsevier, vol. 235(2), pages 694-719.
  133. repec:hal:spmain:info:hdl:2441/1uut5itepl9q5osfl3tj7qatje is not listed on IDEAS
  134. Hong, Shengjie & Su, Liangjun & Jiang, Tao, 2023. "Profile GMM estimation of panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 927-948.
  135. Stéphane Bonhomme & Elena Manresa, 2015. "Grouped Patterns of Heterogeneity in Panel Data," Econometrica, Econometric Society, vol. 83(3), pages 1147-1184, May.
  136. Li, Kunpeng & Lu, Lina, 2014. "Efficient estimation of heterogeneous coefficients in panel data models with common shock," MPRA Paper 59312, University Library of Munich, Germany.
  137. Jad Beyhum & Eric Gautier, 2020. "Factor and factor loading augmented estimators for panel regression," Working Papers hal-02957008, HAL.
  138. Guohua Feng & Jiti Gao & Bin Peng, 2022. "Multi-Level Panel Data Models: Estimation and Empirical Analysis," Monash Econometrics and Business Statistics Working Papers 4/22, Monash University, Department of Econometrics and Business Statistics.
  139. Hande Karabiyik & Joakim Westerlund, 2021. "Forecasting using cross-section average–augmented time series regressions," The Econometrics Journal, Royal Economic Society, vol. 24(2), pages 315-333.
  140. Shi, Wei & Lee, Lung-fei, 2018. "A spatial panel data model with time varying endogenous weights matrices and common factors," Regional Science and Urban Economics, Elsevier, vol. 72(C), pages 6-34.
  141. Xingyu Li & Yan Shen & Qiankun Zhou, 2022. "Confidence Intervals of Treatment Effects in Panel Data Models with Interactive Fixed Effects," Papers 2202.12078, arXiv.org.
  142. Lena Janys & Bettina Siflinger, 2021. "Mental Health and Abortions among Young Women: Time-varying Unobserved Heterogeneity, Health Behaviors, and Risky Decisions," Papers 2103.12159, arXiv.org, revised May 2022.
  143. Hou, Lei & Li, Kunpeng & Li, Qi & Ouyang, Min, 2021. "Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks," Journal of Econometrics, Elsevier, vol. 221(2), pages 483-509.
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