论文标题
具有交互式固定效果的不平衡面板数据模型的推断
Inference in Unbalanced Panel Data Models with Interactive Fixed Effects
论文作者
论文摘要
我们在不平衡面板中得出了Bai（2009）的互动固定效应估计器的渐近理论，在不平衡的面板中，磨损来源是有条件的随机估计器。对于推断，我们提出了一种基于直接标量表达式交替投影算法的方法，以计算估计偏差项和协方差矩阵所需的残差变量。模拟实验证实了我们的渐近结果是可靠的有限样品近似值。此外，我们重新评估了Acemoglu等。 （2019）。允许更普遍的未观察到异质性形式，我们确认民主化对增长的重大影响。
We derive the asymptotic theory of Bai (2009)'s interactive fixed effects estimator in unbalanced panels where the source of attrition is conditionally random. For inference, we propose a method of alternating projections algorithm based on straightforward scalar expressions to compute the residualized variables required for the estimation of the bias terms and the covariance matrix. Simulation experiments confirm our asymptotic results as reliable finite sample approximations. Furthermore, we reassess Acemoglu et al. (2019). Allowing for a more general form of unobserved heterogeneity, we confirm significant effects of democratization on growth.
