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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

The factor analytical method for interactive effects dynamic panel models with moving average errors

Author

  • Milda Norkutė
  • Joakim Westerlund

Summary, in English

The estimation of dynamic panel data models with interactive effects and moving average errors is considered. This is accomplished by making an extension to the factor analytical (FA) estimator which was originally designed for dynamic panels with fixed effects only and serially uncorrelated errors. The results show that the additional allowances have no effect on the asymptotic properties of the FA estimator. In particular, the asymptotic distribution of the estimator is free of the otherwise so common bias problem, a result that is verified in small samples using Monte Carlo simulation.

Department/s

  • Department of Economics

Publishing year

2019

Language

English

Pages

83-104

Publication/Series

Econometrics and Statistics

Volume

11

Document type

Journal article

Publisher

Elsevier

Topic

  • Probability Theory and Statistics

Keywords

  • Dynamic panel data models
  • Factor analytical method
  • Interactive fixed effects
  • Moving average errors

Status

Published

ISBN/ISSN/Other

  • ISSN: 2452-3062