Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
The factor analytical method for interactive effects dynamic panel models with moving average errors
Författare
Summary, in English
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.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2019
Språk
Engelska
Sidor
83-104
Publikation/Tidskrift/Serie
Econometrics and Statistics
Volym
11
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Probability Theory and Statistics
Nyckelord
- Dynamic panel data models
- Factor analytical method
- Interactive fixed effects
- Moving average errors
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 2452-3062