Semiparametric single index panel data models with interactive fixed effects: Theory and practice

• Main Authors: FENG, Guohua, PENG, Bin, SU, Liangjun, YANG, Thomas Tao
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Asymptotic theory; Nonlinear panel data model; Interactive fixed effects; Orthogonal series expansion method; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2056; https://ink.library.smu.edu.sg/context/soe_research/article/3055/viewcontent/SSRN_id2865294.pdf
• Institution: Singapore Management University

In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the investigation...