Article ID Journal Published Year Pages File Type
5059270 Economics Letters 2014 4 Pages PDF
Abstract
This paper considers three-dimensional panel data models with unobservable multiple interactive effects, which are potentially correlated with the covariates. We propose an iterated OLS (IOLS) approach for the estimation of the static model and an iterated GMM (IGMM) method for the dynamic model. Monte Carlo simulations illustrate that our methods perform well in finite samples.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Three-dimensional panel data models with interactive effects: Estimation and simulation
Authors
, ,