Panel treatment effects measurement: Factor or linear projection modelling?

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2024-08-09 DOI:10.1002/jae.3081

Cheng Hsiao, Qiankun Zhou

引用次数: 0

Abstract

We discuss methods of measuring the treatment effects of a unit through the use of other units in panel data by either the factor‐based (FB) approach or the linear projection (LP) approach under different sample configurations of cross‐sectional dimension and time series dimension . We show that the LP approach in general yields smaller mean square prediction error than the FB approach when either both and are large or fixed and or fixed and large. The Monte Carlo simulation and empirical example are also conducted to consider their finite sample performances.

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小组治疗效果测量：因子模型还是线性预测模型？

我们讨论了在横截面维度和时间序列维度的不同样本配置下，使用基于因子（FB）的方法或线性投影（LP）方法，通过使用面板数据中的其他单位来衡量一个单位的处理效应的方法。我们的研究表明，当和都很大，或固定和，或固定和都很大时，LP 方法的均方预测误差一般小于 FB 方法。我们还进行了蒙特卡罗模拟和实证例子，以考虑它们的有限样本性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.