Inference in Unbalanced Panel Data Models with Interactive Fixed Effects
We derive the asymptotic theory of Bai (2009)'s interactive fixed effects estimator in unbalanced panels where the source of attrition is conditionally random. For inference, we propose a method of alternating projections algorithm based on straightforward scalar expressions to compute the residualized variables required for the estimation of the bias terms and the covariance matrix. Simulation experiments confirm our asymptotic results as reliable finite sample approximations. Furthermore, we reassess Acemoglu et al. (2019). Allowing for a more general form of unobserved heterogeneity, we confirm significant effects of democratization on growth.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Robust Estimation and Inference in Panels with Interactive Fixed Effects
We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We demonstrate that existing estimators and confidence intervals (CIs) can be he…
validBinary Choice Models with High-Dimensional Individual and Time Fixed Effects
Empirical economists are often deterred from the application of nonlinear fixed effects models mainly for two reasons: the incidental parameter problem and the computational challenge even in moderately large panels. Usi…
Vocal Bursts Intensity PredictionThreshold Regression in Heterogeneous Panel Data with Interactive Fixed Effects
This paper introduces unit-specific heterogeneity in panel data threshold regression. Both slope coefficients and threshold parameters are allowed to vary by unit. The heterogeneous threshold parameters manifest via a un…
regressionLatent Unbalancedness in Three-Way Gravity Models
Many panel data sets used for pseudo-poisson estimation of three-way gravity models are implicitly unbalanced because uninformative observations are redundant for the estimation. We show with real data as well as simulat…
Hidden Group Time Profiles: Heterogeneous Drawdown Behaviours in Retirement
This article investigates retirement decumulation behaviours using the Grouped Fixed-Effects (GFE) estimator applied to Australian panel data on drawdowns from phased withdrawal retirement income products. Behaviours exh…