Regime switching panel data models with interactive fixed effects

Tingting Cheng, Jiti Gao, Yayi Yan

Research output: Contribution to journalArticleResearchpeer-review

Abstract

In this paper, we introduce a regime switching panel data model with interactive fixed effects. We propose a maximum likelihood estimation method and develop an expectation and conditional maximization algorithm to estimate the unknown parameters. Simulation results show that the algorithm works well in finite samples. The biases of the maximum likelihood estimates are negligible and the root mean squared errors of the maximum likelihood estimates decrease with the increase of either the number of the cross-sectional units N or the size of the time periods T.

Original languageEnglish
Pages (from-to)47-51
Number of pages5
JournalEconomics Letters
Volume177
DOIs
Publication statusPublished - 1 Apr 2019

Keywords

  • ECM algorithm
  • Interactive effect
  • Maximum likelihood estimation
  • Regime switching

Cite this

Cheng, Tingting ; Gao, Jiti ; Yan, Yayi. / Regime switching panel data models with interactive fixed effects. In: Economics Letters. 2019 ; Vol. 177. pp. 47-51.
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Regime switching panel data models with interactive fixed effects. / Cheng, Tingting; Gao, Jiti; Yan, Yayi.

In: Economics Letters, Vol. 177, 01.04.2019, p. 47-51.

Research output: Contribution to journalArticleResearchpeer-review

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