Determination of different types of fixed effects in three-dimensional panels
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AbstractIn 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.
All Author(s) ListXun Lu, Ke Miao, Liangjun Su
Journal nameEconometric Reviews
Volume Number40
Issue Number9
Pages867 - 898
LanguagesEnglish-United States

Last updated on 2021-03-12 at 00:40