Shrinkage estimation of dynamic panel data models with interactive fixed effects
We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai and Ng (2009) and Moon and Weidner (2014a), we propose...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2015
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1714 https://ink.library.smu.edu.sg/context/soe_research/article/2713/viewcontent/02_2015.pdf |
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| Institution: | Singapore Management University |
| Language: | English |