Determining individual or time effects in panel data models

Determining individual or time effects in panel data models

In this paper we propose a jackknife method to determine individual and time e⁄ects in linear panel data models. We rst show that when both the serial and cross-sectional correlation among the idiosyncratic error terms are weak, our jackknife method can pick up the correct model with probability app...

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Bibliographic Details
Main Authors: LU, Xun, SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Consistency
Cross-validation
Dynamic panel
Information Criterion
Jackknife
Individual e⁄ect
Time e⁄ect.
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2070
https://ink.library.smu.edu.sg/context/soe_research/article/3069/viewcontent/Determination_Fixed_Effects20170106.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2070
https://ink.library.smu.edu.sg/context/soe_research/article/3069/viewcontent/Determination_Fixed_Effects20170106.pdf

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