Interactive Effects Panel Data Models with General Factors and Regressors
Fuente:
arXiv
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Preprint |
| Published: |
2021
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912338881282048 |
|---|---|
| author | Peng, Bin Su, Liangjun Westerlund, Joakim Yang, Yanrong |
| author_facet | Peng, Bin Su, Liangjun Westerlund, Joakim Yang, Yanrong |
| contents | This paper considers a model with general regressors and unobservable factors. An estimator based on iterated principal components is proposed, which is shown to be not only asymptotically normal and oracle efficient, but under certain conditions also free of the otherwise so common asymptotic incidental parameters bias. Interestingly, the conditions required to achieve unbiasedness become weaker the stronger the trends in the factors, and if the trending is strong enough unbiasedness comes at no cost at all. In particular, the approach does not require any knowledge of how many factors there are, or whether they are deterministic or stochastic. The order of integration of the factors is also treated as unknown, as is the order of integration of the regressors, which means that there is no need to pre-test for unit roots, or to decide on which deterministic terms to include in the model. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2111_11506 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Interactive Effects Panel Data Models with General Factors and Regressors Peng, Bin Su, Liangjun Westerlund, Joakim Yang, Yanrong Econometrics This paper considers a model with general regressors and unobservable factors. An estimator based on iterated principal components is proposed, which is shown to be not only asymptotically normal and oracle efficient, but under certain conditions also free of the otherwise so common asymptotic incidental parameters bias. Interestingly, the conditions required to achieve unbiasedness become weaker the stronger the trends in the factors, and if the trending is strong enough unbiasedness comes at no cost at all. In particular, the approach does not require any knowledge of how many factors there are, or whether they are deterministic or stochastic. The order of integration of the factors is also treated as unknown, as is the order of integration of the regressors, which means that there is no need to pre-test for unit roots, or to decide on which deterministic terms to include in the model. |
| title | Interactive Effects Panel Data Models with General Factors and Regressors |
| topic | Econometrics |
| url | https://arxiv.org/abs/2111.11506 |