Determination of different types of fixed effects in three-dimensional panels
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要In this paper, we propose a jackknife method to determine the type of fixed effects in three-dimensional panel data models. We show that with probability approaching 1, the method can select the correct type of fixed effects in the presence of only weak serial or cross-sectional dependence among the error terms. In the presence of strong serial correlation, we propose a modified jackknife method and justify its selection consistency. Monte Carlo simulations demonstrate the excellent finite sample performance of our method. Applications to two datasets in macroeconomics and international trade reveal the usefulness of our method.
著者Xun Lu, Ke Miao, Liangjun Su
期刊名稱Econometric Reviews
出版年份2021
卷號40
期次9
頁次867 - 898
國際標準期刊號0747-4938
語言美式英語

上次更新時間 2021-23-11 於 23:56