TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS

By Liangjun Su, Qihui Chen. Econometric Theory, 2013

104 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/f78b1ace25cbb98c07dec85645db8f7d9c92a367

How researchers see this paper

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In Economics and Econometrics

1. Liangjun Su
2. Sainan Jin
3. Xia Wang
4. Xun Lu
5. Peter C. B. Phillips
6. Wuyi Wang
7. Yiguo Sun
8. Yixiao Sun

Citations in the corpus

• Sieve Estimation of Time-Varying Panel Data Models With Latent Structures (2019, background): “…and inference, such an assumption has been frequently rejected in empirical studies (e.g., Lee, Pesaran, and Smith 1997; Durlauf, Kourtellos, and Minkin 2001; Juárez and Steel 2010; Su and Chen 2013) and there has been increasing interest in modeling slope heterogeneity in panel data models.”
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso (2016, unknown): “2Pesaran and Yamagata (2008) and Su and Chen (2013) propose LM-type tests for slope homogeneity along the cross section dimension in large dimensional linear panel data models with additive fixed effects and interactive fixed effects, respectively.”
• Specification Test for Panel Data Models with Interactive Fixed Effects (2014, unknown): “Following Su and Chen (2012), we can readily establish the asymptotic validity of the above bootstrap procedure.”
• Determining the number of groups in latent panel structures with an application to income and democracy (2017, methodology): “The proof is analogous to that of Lemma A.6 in Su and Chen (2013) who consider conditional strong mixing processes instead.”
• Homogeneity pursuit in panel data models: Theory and application (2018, background): “However, homogeneity assumptions are frequently rejected in empirical panel studies, as in Hsiao and Tahmiscioglu (1997), Phillips and Sul (2007), Browning and Carro (2007), and Su and Chen (2013).”
• Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects (2016, unknown): “(i) The proof is analogous to that of Lemma A.7(iii) in Su and Chen (2013) by using Bernstein inequality for conditional strong mixing processes (see, e.g., Lemma A.4 in Su and Chen (2013)).”
• On Time-Varying Factor Models: Estimation and Testing ∗ (2017, background): “Similar phenomenon occurs in Su and Chen’s (2013) test for slope homogeneity where they require the degree of heterogeneity be sufficiently large.”