Determining individual or time effects in panel data models

• 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
• Institution: Singapore Management University

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...