Semi-parametric single-index panel data models with interactive fixed effects: theory and practice

Guohua Feng, Bin Peng, Liangjun Su, Thomas Tao Yang

Research output: Contribution to journalArticleResearchpeer-review

Abstract

In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the investigation of many economic issues. The asymptotic theories are established accordingly. Our Monte Carlo simulations show that our methodology works well for large N and T cases. In our empirical application, we illustrate our model by analysing the returns to scale of large commercial banks in the U.S.

Original languageEnglish
Pages (from-to)607-622
Number of pages16
JournalJournal of Econometrics
Volume212
Issue number2
DOIs
Publication statusPublished - Oct 2019
Externally publishedYes

Keywords

  • Interactive fixed effects
  • Nonlinear panel data model
  • Orthogonal series method

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