Panel Data Models With Interactive Fixed Effects

By Jushan Bai. 2009

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Citations in the corpus

Counterfactual inference for consumer choice across many product categories (2019, methodology): “7This approach has similarities to the econometrics literature on “interactive fixed effects models” although that literature has focused primarily on decomposing common trends across individuals over time rather than identifying common preferences for products across individuals (Moon and Weidner, ”
Identifying distributional characteristics in random coefficients panel data models (2009, background): “10”
Factor models and variable selection in high-dimensional regression analysis (2011, background): “Some references are Forni and Lippi (1997), Forni et al. (2000), Stock and Watson (2002), Bernanke and Boivin (2003) and Bai (2003, 2009).”
Does Public Support Help Democracy Survive? (2019, methodology): “Third, I employ the interactive fixed effects models proposed by Bai (2009) for unobservable confounds with heterogenous over-time effects on different countries.”
Common correlated effects estimation of heterogeneous dynamic panel quantile regression models (2020, positive): “Recent papers have focused on the estimation of models with a fixed number of unobserved factors (see e.g. Pesaran (2006), Bai (2009), Pesaran and Chudik (2014), Moon and Weidner (2015, 2017), Chudik and Pesaran (2015)).”
DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS (2017, methodology): “The following lemma is due to Bai (2009).”
A diagnostic criterion for approximate factor structure (2016, methodology): “Bai and Ng (2002) introduce a penalized least-squares strategy to estimate the number of factors, at least one (see Amengual and Watson (2007) to include dynamic factors). Onatski (2010) looks at the behavior of the adjacent eigenvalues to determine the number of factors when the cross-sectional dim”
Dynamic panels with threshold effect and endogeneity (2016, neutral): “[7]”
Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects (2015, methodology): “See the discussion in Bai (2009b), supplemental material, regarding estimation of R. (5)For R < R the LS estimator can be inconsistent, since then there are interactive fixed effects in the model which can be correlated with the regressors but are not controlled for in the estimation. We therefore r”
The Impact of Chinese Import Competition on the Local Structure of Employment and Wages: Evidence from France (2017, positive): “where the parameter aS and aD determines the sign and magnitude of the impact of supply and demand shocks, respectively, on manufacturing employment growth and λis is an unobserved term representing the “importance” of sector s in location i (a simplification could be to set it (11)This variable is ”
Synthetic controls with imperfect pretreatment fit (2016, methodology): “This is also consistent with the literature on linear factor models, which shows that these models can be consistently estimated in large panels (e.g., Bai (2003), Bai and Ng (2002), Bai (2009), and Moon, Roger, and Weidner (2015)).”
Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure (2019, positive): “Under somewhat weaker assumptions, Moon and Weidner (2015) show that the estimator of Bai (2009) is interpretable as a quasi maximum likelihood estimator (QMLE), the consistency of which is maintained even when the number of factors is not specified correctly, so long as it is larger than or equal…”
A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models (2017, methodology): “References Bai, J. (2009). ‘Panel data models with interactive fixed effects’, Econometrica, 77(4): 1229—1279. Baltagi, B., Feng, Q., and Kao, C. (2012). ‘A Lagrange multiplier test for cross-sectional dependence in Fixed Effects panel data models’, Journal of Econometrics, 170: 164—177. Bassanini, ”
Synthetic Control and Inference (2017, methodology): “In addition to these two methods, we can also entertain the possibility that if both T0 and J are large, it may be possible to use the panel technique as in Bai (2009) as well.13 See, e.g., Gobillon and Magnac (2016).”