메뉴 건너뛰기




Volumn 33, Issue 1, 2017, Pages 158-195

Dynamic linear panel regression models with interactive fixed effects

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84950294768     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466615000328     Document Type: Article
Times cited : (156)

References (44)
  • 1
    • 0346507483 scopus 로고    scopus 로고
    • GMM estimation of linear panel data models with timevarying individual effects
    • Ahn, S.C., Y.H. Lee, & P. Schmidt. (2001). GMM estimation of linear panel data models with timevarying individual effects. Journal of Econometrics 101(2), 219-255
    • (2001) Journal of Econometrics , vol.101 , Issue.2 , pp. 219-255
    • Ahn, S.C.1    Lee, Y.H.2    Schmidt, P.3
  • 2
    • 0001658840 scopus 로고    scopus 로고
    • Estimation when a parameter is on a boundary
    • Andrews, D.W.K. (1999). Estimation when a parameter is on a boundary. Econometrica 67(6), 1341-1384
    • (1999) Econometrica , vol.67 , Issue.6 , pp. 1341-1384
    • Andrews, D.W.K.1
  • 3
    • 0034991462 scopus 로고    scopus 로고
    • Testing when a parameter is on the boundary of the maintained hypothesis
    • Andrews, D.W.K. (2001). Testing when a parameter is on the boundary of the maintained hypothesis. Econometrica 69(3), 683-734
    • (2001) Econometrica , vol.69 , Issue.3 , pp. 683-734
    • Andrews, D.W.K.1
  • 4
    • 84924207387 scopus 로고    scopus 로고
    • Understanding bias in nonlinear panel models: Some recent developments
    • Arellano, M., & J. Hahn. (2007). Understanding bias in nonlinear panel models: Some recent developments. Econometric Society Monographs 43, 381
    • (2007) Econometric Society Monographs , vol.43 , pp. 381
    • Arellano, M.1    Hahn, J.2
  • 5
    • 68349144362 scopus 로고    scopus 로고
    • Panel data models with interactive fixed effects
    • Bai, J. (2009). Panel data models with interactive fixed effects. Econometrica 77(4), 1229-1279
    • (2009) Econometrica , vol.77 , Issue.4 , pp. 1229-1279
    • Bai, J.1
  • 6
    • 0036221554 scopus 로고    scopus 로고
    • Determining the number of factors in approximate factor models
    • Bai, J., & S. Ng. (2002). Determining the number of factors in approximate factor models. Econometrica 70(1), 191-221
    • (2002) Econometrica , vol.70 , Issue.1 , pp. 191-221
    • Bai, J.1    Ng, S.2
  • 7
    • 3042765507 scopus 로고    scopus 로고
    • A panic attack on unit roots and cointegration
    • Bai, J., & S. Ng. (2004). A panic attack on unit roots and cointegration. Econometrica 72(4), 1127-1177
    • (2004) Econometrica , vol.72 , Issue.4 , pp. 1127-1177
    • Bai, J.1    Ng, S.2
  • 8
    • 33745304373 scopus 로고    scopus 로고
    • Confidence intervals for diffusion index forecasts and inference for factoraugmented regressions
    • Bai, J., & S. Ng. (2006). Confidence intervals for diffusion index forecasts and inference for factoraugmented regressions. Econometrica 74(4), 1133-1150
    • (2006) Econometrica , vol.74 , Issue.4 , pp. 1133-1150
    • Bai, J.1    Ng, S.2
  • 9
    • 38249027279 scopus 로고
    • A note on the largest eigenvalue of a large dimensional sample covariance matrix
    • Bai, Z.D., J.W. Silverstein, & Y.Q. Yin. (1988). A note on the largest eigenvalue of a large dimensional sample covariance matrix. Journal of Multivariate Analysis 26(2), 166-168
    • (1988) Journal of Multivariate Analysis , vol.26 , Issue.2 , pp. 166-168
    • Bai, Z.D.1    Silverstein, J.W.2    Yin, Y.Q.3
  • 10
    • 15544377383 scopus 로고    scopus 로고
    • Measuring the effects of monetary policy: A factoraugmented vector autoregressive (favar) approach
    • Bernanke, B.S., J. Boivin, & P. Eliasz. (2005). Measuring the effects of monetary policy: A factoraugmented vector autoregressive (favar) approach. The Quarterly Journal of Economics 120(1), 387-422
    • (2005) The Quarterly Journal of Economics , vol.120 , Issue.1 , pp. 387-422
    • Bernanke, B.S.1    Boivin, J.2    Eliasz, P.3
  • 11
    • 0029190847 scopus 로고
    • Automobile prices in market equilibrium
    • Berry, S., J. Levinsohn, & A. Pakes. (1995). Automobile prices in market equilibrium. Econometrica pp. 841-890
    • (1995) Econometrica , pp. 841-890
    • Berry, S.1    Levinsohn, J.2    Pakes, A.3
  • 12
    • 0000915180 scopus 로고
    • Arbitrage, factor structure, and mean-variance analysis on large asset markets
    • Chamberlain, G., & M. Rothschild. (1983). Arbitrage, factor structure, and mean-variance analysis on large asset markets. Econometrica 51(5), 1281-1304
    • (1983) Econometrica , vol.51 , Issue.5 , pp. 1281-1304
    • Chamberlain, G.1    Rothschild, M.2
  • 13
    • 16344366279 scopus 로고    scopus 로고
    • An IV model of quantile treatment effects
    • Chernozhukov, V., & C. Hansen. (2005). An iv model of quantile treatment effects. Econometrica 73(1), 245-261
    • (2005) Econometrica , vol.73 , Issue.1 , pp. 245-261
    • Chernozhukov, V.1    Hansen, C.2
  • 14
    • 84945446966 scopus 로고    scopus 로고
    • Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
    • Chudik, A., & M.H. Pesaran. (2015). Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors. Journal of Econometrics
    • (2015) Journal of Econometrics
    • Chudik, A.1    Pesaran, M.H.2
  • 15
    • 79951685846 scopus 로고    scopus 로고
    • Weak and strong cross-section dependence and estimation of large panels
    • Chudik, A., M.H. Pesaran, & E. Tosetti. (2011). Weak and strong cross-section dependence and estimation of large panels. The Econometrics Journal 14(1), C45-C90
    • (2011) The Econometrics Journal , vol.14 , Issue.1 , pp. C45-C90
    • Chudik, A.1    Pesaran, M.H.2    Tosetti, E.3
  • 17
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E.F., & K.R. French. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33(1), 3-56
    • (1993) Journal of Financial Economics , vol.33 , Issue.1 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 19
    • 0001436319 scopus 로고
    • A limit theorem for the norm of random matrices
    • Geman, S. (1980). A limit theorem for the norm of random matrices. Annals of Probability 8(2), 252-261
    • (1980) Annals of Probability , vol.8 , Issue.2 , pp. 252-261
    • Geman, S.1
  • 21
    • 0036077642 scopus 로고    scopus 로고
    • Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large
    • Hahn, J., & G. Kuersteiner. (2002). Asymptotically unbiased inference for a dynamic panel model with fixed effects when both "n" and "T" are large. Econometrica 70(4), 1639-1657
    • (2002) Econometrica , vol.70 , Issue.4 , pp. 1639-1657
    • Hahn, J.1    Kuersteiner, G.2
  • 22
    • 82455198612 scopus 로고    scopus 로고
    • Bias reduction for dynamic nonlinear panel models with fixed effects
    • Hahn, J., & G. Kuersteiner. (2011). Bias reduction for dynamic nonlinear panel models with fixed effects. Econometric Theory 27(06), 1152-1191
    • (2011) Econometric Theory , vol.27 , Issue.6 , pp. 1152-1191
    • Hahn, J.1    Kuersteiner, G.2
  • 23
    • 3142718410 scopus 로고    scopus 로고
    • Jackknife and analytical bias reduction for nonlinear panel models
    • Hahn, J., & W. Newey. (2004). Jackknife and analytical bias reduction for nonlinear panel models. Econometrica 72(4), 1295-1319
    • (2004) Econometrica , vol.72 , Issue.4 , pp. 1295-1319
    • Hahn, J.1    Newey, W.2
  • 25
    • 67649668916 scopus 로고    scopus 로고
    • A quantile regression approach for estimating panel data models using instrumental variables
    • Harding, M., & C. Lamarche. (2009). A quantile regression approach for estimating panel data models using instrumental variables. Economics Letters 104(3), 133-135
    • (2009) Economics Letters , vol.104 , Issue.3 , pp. 133-135
    • Harding, M.1    Lamarche, C.2
  • 26
    • 79953649578 scopus 로고    scopus 로고
    • Least squares estimation of a panel data model with multifactor error structure and endogenous covariates
    • Harding, M., & C. Lamarche. (2011). Least squares estimation of a panel data model with multifactor error structure and endogenous covariates. Economics Letters 111(3), 197-199
    • (2011) Economics Letters , vol.111 , Issue.3 , pp. 197-199
    • Harding, M.1    Lamarche, C.2
  • 27
    • 0002816448 scopus 로고
    • Estimating vector autoregressions with panel data
    • Holtz-Eakin, D., W. Newey, & H.S. Rosen. (1988). Estimating vector autoregressions with panel data. Econometrica 56(6), 1371-95
    • (1988) Econometrica , vol.56 , Issue.6 , pp. 1371-1395
    • Holtz-Eakin, D.1    Newey, W.2    Rosen, H.S.3
  • 28
    • 78650521130 scopus 로고    scopus 로고
    • Panels with non-stationary multifactor error structures
    • Kapetanios, G., M.H. Pesaran, & T. Yamagata. (2011). Panels with non-stationary multifactor error structures. Journal of Econometrics 160(2), 326-348
    • (2011) Journal of Econometrics , vol.160 , Issue.2 , pp. 326-348
    • Kapetanios, G.1    Pesaran, M.H.2    Yamagata, T.3
  • 30
    • 18144366601 scopus 로고    scopus 로고
    • Some estimates of norms of random matrices
    • Latala, R. (2005). Some estimates of norms of random matrices. Proc. Amer. Math. Soc. 133, 1273-1282
    • (2005) Proc. Amer. Math. Soc , vol.133 , pp. 1273-1282
    • Latala, R.1
  • 31
    • 84861854354 scopus 로고    scopus 로고
    • Analysis of interactive fixed effects dynamic linear panel regression with measurement error
    • Lee, N., H.R. Moon, & M. Weidner. (2012). Analysis of interactive fixed effects dynamic linear panel regression with measurement error. Economics Letters 117(1), 239-242
    • (2012) Economics Letters , vol.117 , Issue.1 , pp. 239-242
    • Lee, N.1    Moon, H.R.2    Weidner, M.3
  • 33
    • 3042730368 scopus 로고    scopus 로고
    • Testing for a unit root in panels with dynamic factors
    • Moon, H.R., & B. Perron. (2004). Testing for a unit root in panels with dynamic factors. Journal of Econometrics 122(1), 81-126
    • (2004) Journal of Econometrics , vol.122 , Issue.1 , pp. 81-126
    • Moon, H.R.1    Perron, B.2
  • 34
    • 84938149024 scopus 로고    scopus 로고
    • Linear regression for panel with unknown number of factors as interactive fixed effects
    • Moon, H.R., & M. Weidner. (2015). Linear regression for panel with unknown number of factors as interactive fixed effects. Econometrica 83(4), 1543-1579
    • (2015) Econometrica , vol.83 , Issue.4 , pp. 1543-1579
    • Moon, H.R.1    Weidner, M.2
  • 36
    • 0000604269 scopus 로고
    • Biases in dynamic models with fixed effects
    • Nickell, S. (1981). Biases in dynamic models with fixed effects. Econometrica 49(6), 1417-1426
    • (1981) Econometrica , vol.49 , Issue.6 , pp. 1417-1426
    • Nickell, S.1
  • 37
    • 78650967353 scopus 로고    scopus 로고
    • Determining the number of factors from empirical distribution of eigenvalues
    • Onatski, A. (2010). Determining the number of factors from empirical distribution of eigenvalues. The Review of Economics and Statistics 92(4), 1004-1016
    • (2010) The Review of Economics and Statistics , vol.92 , Issue.4 , pp. 1004-1016
    • Onatski, A.1
  • 38
    • 33745290412 scopus 로고    scopus 로고
    • Estimation and inference in large heterogeneous panels with a multifactor error structure
    • Pesaran, M.H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74(4), 967-1012
    • (2006) Econometrica , vol.74 , Issue.4 , pp. 967-1012
    • Pesaran, M.H.1
  • 39
    • 79952448406 scopus 로고    scopus 로고
    • Large panels with common factors and spatial correlation
    • Pesaran, M.H., & E. Tosetti. (2011). Large panels with common factors and spatial correlation. Journal of Econometrics 161(2), 182-202
    • (2011) Journal of Econometrics , vol.161 , Issue.2 , pp. 182-202
    • Pesaran, M.H.1    Tosetti, E.2
  • 40
    • 2542598921 scopus 로고    scopus 로고
    • Dynamic panel estimation and homogeneity testing under cross section dependence
    • Phillips, P.C.B., & D. Sul. (2003). Dynamic panel estimation and homogeneity testing under cross section dependence. Econometrics Journal 6(1), 217-259
    • (2003) Econometrics Journal , vol.6 , Issue.1 , pp. 217-259
    • Phillips, P.C.B.1    Sul, D.2
  • 41
    • 49549135545 scopus 로고
    • The arbitrage theory of capital asset pricing
    • Ross, S.A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory 13(3), 341-360
    • (1976) Journal of Economic Theory , vol.13 , Issue.3 , pp. 341-360
    • Ross, S.A.1
  • 42
    • 0346720730 scopus 로고
    • On the eigenvectors of large dimensional sample covariance matrices
    • Silverstein, J.W. (1989). On the eigenvectors of large dimensional sample covariance matrices. J. Multivar. Anal. 30(1), 1-16
    • (1989) J. Multivar. Anal , vol.30 , Issue.1 , pp. 1-16
    • Silverstein, J.W.1
  • 43
    • 0036970448 scopus 로고    scopus 로고
    • Forecasting using principal components from a large number of predictors
    • Stock, J.H., & M.W. Watson. (2002). Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association 97, 1167-1179
    • (2002) Journal of the American Statistical Association , vol.97 , pp. 1167-1179
    • Stock, J.H.1    Watson, M.W.2
  • 44
    • 0001136512 scopus 로고
    • On the limit of the largest eigenvalue of the largedimensional sample covariance matrix
    • Yin, Y.Q., Z.D. Bai, & P. Krishnaiah. (1988). On the limit of the largest eigenvalue of the largedimensional sample covariance matrix. Probability Theory Related Fields 78, 509-521
    • (1988) Probability Theory Related Fields , vol.78 , pp. 509-521
    • Yin, Y.Q.1    Bai, Z.D.2    Krishnaiah, P.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.