Fixed-Effects Dynamic Panel Models, a Factor Analytical Method
Abstract
We consider the estimation of dynamic panel data models in the presence of incidental parameters in both dimensions: individual fixed-effects and time fixed-effects, as well as incidental parameters in the variances. We adopt the factor analytical approach by estimating the sample variance of individual effects rather than the effects themselves. In the presence of cross-sectional heteroskedasticity, the factor method estimates the average of...
Paper Details
Title
Fixed-Effects Dynamic Panel Models, a Factor Analytical Method
Published Date
Jan 1, 2013
Journal
Volume
81
Issue
1
Pages
285 - 314
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