Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
The factor analytical method for interactive effects dynamic panel models with moving average errors
Author
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