English, Article, Journal or magazine article edition: Panel Data Models with Multiple Time-Varying Individual Effects Seung C. Ahn; Young H. Lee; Peter Schmidt

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Bookmark: http://trove.nla.gov.au/version/76974
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Panel Data Models with Multiple Time-Varying Individual Effects
Author
  • Seung C. Ahn
  • Young H. Lee
  • Peter Schmidt
Physical Description
  • preprint
Notes
  • This paper considers a panel data model with time-varying individual effects. The data are assumed to contain a large number of cross-sectional units repeatedly observed over a fixed number of time periods. The model has a feature of the fixed-effects model in that the effects are assumed to be correlated with the regressors. The unobservable individual effects are assumed to have a factor structure. For consistent estimation of the model, it is important to estimate the true number of factors. We propose a generalized methods of moments procedure by which both the number of factors and the regression coefficients can be consistently estimated. Some important identification issues are also discussed. Our simulation results indicate that the proposed methods produce reliable estimates.
  • panel data, time-varying individual effects, factor models
  • RePEc:crt:wpaper:0702
Language
  • English
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