Panel VAR models with interactive fixed effects

IF 2.9 4区经济学 Q1 ECONOMICS

Econometrics Journal Pub Date : 2020-07-17 DOI:10.1093/ectj/utaa021

M. Tuğan

引用次数: 3

Abstract

In the literature, a common feature of panel models with interactive fixed effects is that they model a univariate variable. In this regard, they are incapable of addressing dynamic and simultaneous interactions among a set of macroeconomic variables, a problem that falls within the realm of structural analysis. This paper aims to contribute to the existing literature by studying a homogeneous panel vector autoregression (VAR) model with interactive fixed effects. The panel VAR model in question is flexible in that it can accommodate an arbitrary lag length and observable regressors that can be individual-specific or common. For factor VAR models with both a large cross-section (C) and a large time (T) dimension, we derive the limiting distribution of the interactive fixed estimator, allowing structural analysis to be extended to panel VAR models with interactive fixed effects.

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具有交互固定效应的面板VAR模型

在文献中，具有交互固定效应的面板模型的一个共同特征是它们对单变量进行建模。在这方面，它们无法处理一系列宏观经济变量之间的动态和同时的相互作用，这是属于结构分析领域的问题。本文旨在通过研究具有交互固定效应的齐次面板向量自回归(VAR)模型，对已有文献做出贡献。所讨论的面板VAR模型是灵活的，因为它可以适应任意滞后长度和可观察到的回归量，可以是个人特定的或共同的。对于具有大横截面(C)和大时间(T)维的因子VAR模型，我们导出了交互固定估计量的极限分布，使得结构分析可以推广到具有交互固定效应的面板VAR模型。

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

Econometrics Journal 管理科学-数学跨学科应用

CiteScore

4.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.