关于Bai(2009)估算交互固定效应模型的两种算法

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2023-10-06 DOI:10.1016/j.econlet.2023.111395

Qiang Chen , Guanpeng Yan

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引用次数: 0

摘要

在一篇有影响力的论文中，Bai（2009）通过在OLS和PCA之间迭代直到收敛来估计交互式固定效应模型。Bai（2009）提出了两种算法，一种用于推导极限理论，另一种用于实现。但这两种算法之间的关系在文献中没有得到充分的阐述。我们证明了表征这两种算法的非线性联立方程具有相同的解，但收敛路径通常不同。我们进行了蒙特卡洛模拟，以比较这两种算法的统计和收敛特性，并发现与以前的信念不同的模式。

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On the two algorithms for estimating interactive fixed effects models in Bai (2009)

In an influential paper, Bai (2009) estimates the interactive fixed effects models by iterating between OLS and PCA until convergence. Bai (2009) proposes two algorithms, one for deriving the limiting theory, while the other for implementation. But the relation between these two algorithms has not been adequately addressed in the literature. We show that the nonlinear simultaneous equations characterizing these two algorithms have the same solutions, but the convergent paths are different in general. We conduct Monte Carlo simulations to compare the statistical and convergent properties of these two algorithms, and find patterns different from previous beliefs.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.