具有一般因素和回归量的交互式效果面板数据模型

IF 1 4区经济学 Q3 ECONOMICS

Econometric Theory Pub Date : 2023-09-05 DOI:10.1017/s0266466623000270

Bin Peng, Liangjun Su, Joakim Westerlund, Yanrong Yang

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引用次数: 0

摘要

本文考虑一个具有一般回归量和不可观测公因子的模型。提出了一种基于迭代主成分分析的估计量，证明了它不仅是渐近正态的，而且在一定条件下不存在常见的渐近附带参数偏差。有趣的是，实现无偏倚的条件越弱，趋势越强，如果趋势足够强大，无偏倚就完全没有成本。这种方法不需要知道有多少因素，也不需要知道它们是确定性的还是随机的。因子的积分顺序也被视为未知，回归量的积分顺序也是如此，这意味着不需要预先测试单位根，也不需要决定模型中包含哪些确定性项。

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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INTERACTIVE EFFECTS PANEL DATA MODELS WITH GENERAL FACTORS AND REGRESSORS

This paper considers a model with general regressors and unobservable common factors. An estimator based on iterated principal component analysis is proposed, which is shown to be not only asymptotically normal, 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. 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.

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来源期刊

Econometric Theory MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.