The factor analytical method for interactive effects dynamic panel models with moving average errors
(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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https://lup.lub.lu.se/record/9c4e4068-d357-4443-8fca-04cc7b51b1b6
- author
- Norkutė, Milda LU and Westerlund, Joakim LU
- organization
- publishing date
- 2019
- 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}}, }