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Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
Open accessAbstract
In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true number of factors in the data, we establish the limiting distribution of the LS estimator for the regression coefficients as the number of time periods and the number of cross-sectional units jointly go to infinity. The main result of the paper is that under certain assumptions the limiting distribution of the LS estimator is independent of the number of factors used in the estimation, as long as this number is not underestimated. The important practical implication of this result is that for inference on the regression coefficients one does not necessarily need to estimate the number of interactive fixed effects consistently.
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Cites
Biases in dynamic models with fixed effects
Nickell, S. (1981) · Econometrica · doi:10.2307/1911408 · Cited by 8,735
Did Unilateral Divorce Laws Raise Divorce Rates? A Reconciliation and New Results
Wolfers, J. (2006) · American Economic Review · doi:10.1257/aer.96.5.1802 · Cited by 950
Did Unilateral Divorce Raise Divorce Rates? Evidence from Panel Data
Friedberg, L. (1997) · doi:10.2139/ssrn.2207 · Cited by 522
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Powell, D. (2022) · Journal of Business & Economic Statistics · doi:10.1080/07350015.2021.1927743 · Cited by 43
Metadata
- Authors
- Moon, H. R., & Weidner, M.
- Venue
- Econometrica
- Publisher
- The Econometric Society
- Published
- 2015
- Volume
- 83
- Issue
- 4
- Pages
- 1543-1579
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2178479773
- Cited by
- 298
- References
- 3
- FWCI
- 52.86
- Type
- journal article
- Language
- en
- Open access
- green
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