Academic Journal
Semiparametric single index panel data models with interactive fixed effects: Theory and practice
| العنوان: | Semiparametric single index panel data models with interactive fixed effects: Theory and practice |
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| المؤلفون: | FENG, Guohua, PENG, Bin, SU, Liangjun, YANG, Thomas Tao |
| المصدر: | Research Collection School Of Economics |
| بيانات النشر: | Institutional Knowledge at Singapore Management University |
| سنة النشر: | 2016 |
| المجموعة: | Institutional Knowledge (InK) at Singapore Management University |
| مصطلحات موضوعية: | Asymptotic theory, Nonlinear panel data model, Interactive fixed effects, Orthogonal series expansion method, Econometrics |
| الوصف: | 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. We derive asymptotic theories for both the case where the link function is integrable and the case where the link function is non-integrable. 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 analyzing the returns to scale of large commercial banks in the U.S. Our empirical results suggest that the vast majority of U.S. large banks exhibit increasing returns to scale. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | https://ink.library.smu.edu.sg/soe_research/2056; https://ink.library.smu.edu.sg/context/soe_research/article/3055/viewcontent/SSRN_id2865294.pdf |
| DOI: | 10.2139/ssrn.2865294 |
| الاتاحة: | https://ink.library.smu.edu.sg/soe_research/2056 https://doi.org/10.2139/ssrn.2865294 https://ink.library.smu.edu.sg/context/soe_research/article/3055/viewcontent/SSRN_id2865294.pdf |
| Rights: | http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| رقم الانضمام: | edsbas.F58BAD1 |
| قاعدة البيانات: | BASE |
| DOI: | 10.2139/ssrn.2865294 |
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