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The factor analytical method for interactive effects dynamic panel models with moving average errors

Norkutė, Milda LU and Westerlund, Joakim LU (2019) In Econometrics and Statistics 11. p.83-104
Abstract

The estimation of dynamic panel data models with interactive effects and moving average errors is considered. This is accomplished by making an extension to the factor analytical (FA) estimator which was originally designed for dynamic panels with fixed effects only and serially uncorrelated errors. The results show that the additional allowances have no effect on the asymptotic properties of the FA estimator. In particular, the asymptotic distribution of the estimator is free of the otherwise so common bias problem, a result that is verified in small samples using Monte Carlo simulation.

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author
and
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Dynamic panel data models, Factor analytical method, Interactive fixed effects, Moving average errors
in
Econometrics and Statistics
volume
11
pages
83 - 104
publisher
Elsevier
external identifiers
  • scopus:85055035115
ISSN
2452-3062
DOI
10.1016/j.ecosta.2018.09.003
language
English
LU publication?
yes
id
9c4e4068-d357-4443-8fca-04cc7b51b1b6
date added to LUP
2018-11-13 08:19:30
date last changed
2022-04-25 18:57:33
@article{9c4e4068-d357-4443-8fca-04cc7b51b1b6,
  abstract     = {{<p>The estimation of dynamic panel data models with interactive effects and moving average errors is considered. This is accomplished by making an extension to the factor analytical (FA) estimator which was originally designed for dynamic panels with fixed effects only and serially uncorrelated errors. The results show that the additional allowances have no effect on the asymptotic properties of the FA estimator. In particular, the asymptotic distribution of the estimator is free of the otherwise so common bias problem, a result that is verified in small samples using Monte Carlo simulation.</p>}},
  author       = {{Norkutė, Milda and Westerlund, Joakim}},
  issn         = {{2452-3062}},
  keywords     = {{Dynamic panel data models; Factor analytical method; Interactive fixed effects; Moving average errors}},
  language     = {{eng}},
  pages        = {{83--104}},
  publisher    = {{Elsevier}},
  series       = {{Econometrics and Statistics}},
  title        = {{The factor analytical method for interactive effects dynamic panel models with moving average errors}},
  url          = {{http://dx.doi.org/10.1016/j.ecosta.2018.09.003}},
  doi          = {{10.1016/j.ecosta.2018.09.003}},
  volume       = {{11}},
  year         = {{2019}},
}