Panel Data Models with Multiple Time-Varying Individual Effects

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Specification Test for Panel Data Models with Interactive Fixed Effects (2014, unknown): “For example, Pesaran (2006) proposes common correlated effect (CCE) estimation of panel data models with IFE; Bai (2009) proposes principal component analysis (PCA) estimation; Moon and Weidner (2010, 2013) reinvestigate Bai’s (2009) PCA estimation and put it in the framework of Gaussian quasi maxim”
Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity (2018, methodology): “Our treatment of interactive effects is related to the large literature on panel models including Phillips and Sul (2003, 2007), Bai and Ng (2006a,b), Pesaran (2006), Bai (2009, 2013), Moon and Weidner (2013a,b) and is most closely related to the fixed T GMM estimators of Ahn et al. (2013).”
Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls (2016, methodology): “Interestingly, Ahn, Lee, and Schmidt (2013) analyze an interactive effect model, and their method, which consists of differencing-out factor loadings, provides potential efficiency improvements over the procedure of Hsiao et al. (2012).”