A factor analytical method to interactive effects dynamic panel models with or without unit root
Data(s) |
01/01/2014
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Resumo |
In a recent study, Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013a) proposes a new factor analytic (FA) method to the estimation of dynamic panel data models, which has the unique and very useful property that it is completely bias-free. However, while certainly appealing, it is restricted to fixed effects models without a unit root. In many situations of practical relevance this is a rather restrictive consideration. The purpose of the current study is therefore to extend the FA approach to cover models with multiple interactive effects and a possible unit root. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Department of Economics, Lund University |
Relação |
http://dro.deakin.edu.au/eserv/DU:30078211/westerlund-factoranalyticalmethod-2014.pdf https://ideas.repec.org/p/hhs/lunewp/2014_012.html https://sites.google.com/site/perjoakimwesterlund/ |
Direitos |
2014, Lund University |
Palavras-Chave | #Interactive fixed effects #Dynamic panel data models #Unit root #Factor analytical method |
Tipo |
Book |