Linear Multidimensional Regression with Interactive Fixed-Effects
This paper studies a linear model for multidimensional panel data of three or more dimensions with unobserved interactive fixed-effects. The main estimator uses double debias methods, and requires two preliminary steps. First, the model is embedded within a two-dimensional panel framework where factor model methods in Bai (2009) lead to consistent, but slowly converging, estimates. The second step develops a weighted-within transformation that is robust to multidimensional interactive fixed-effects and achieves the parametric rate of consistency. This is combined with a double debias procedure for asymptotically normal estimates. The methods are implemented to estimate the demand elasticity for beer.
Code (0)
등록된 구현이 없습니다.
Tasks
regressionSimilar Papers 제목 키워드 기반
Linear Panel Regressions with Two-Way Unobserved Heterogeneity
We study linear panel regression models in which the unobserved error term is an unknown smooth function of two-way unobserved fixed effects. In standard additive or interactive fixed effect models the individual specifi…
regressionVocal Bursts Valence PredictionRobust 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…
validA Simple Interactive Fixed Effects Estimator for Short Panels
We study the interactive effects (IE) model as an extension of the conventional additive effects (AE) model. For the AE model, the fixed effects estimator can be obtained by applying least squares to a regression that ad…
Efficient Algorithms for Multidimensional Segmented Regression
We study the fundamental problem of fixed design {\em multidimensional segmented regression}: Given noisy samples from a function $f$, promised to be piecewise linear on an unknown set of $k$ rectangles, we want to recov…
regressionFixed $T$ Estimation of Linear Panel Data Models with Interactive Fixed Effects
This paper studies the estimation of linear panel data models with interactive fixed effects, where one dimension of the panel, typically time, may be fixed. To this end, a novel transformation is introduced that reduces…