arXiv 23 Sep 2022 · Econometrics · 5 citations (OpenAlex)
arXiv:2209.11691 · PDF · DOI · OpenAlex · Extracted main text
This paper studies a linear model for multidimensional panel data of three or more dimensions with unobserved interactive fixed-effects. The main estimator uses double debias methods, and requires two preliminary steps. First, the model is embedded within a two-dimensional panel framework where factor model methods in Bai (2009) lead to consistent, but slowly converging, estimates. The second step develops a weighted-within transformation that is robust to multidimensional interactive fixed-effects and achieves the parametric rate of consistency. This is combined with a double debias procedure for asymptotically normal estimates. The methods are implemented to estimate the demand elasticity for beer.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Moon, Hyungsik Roger and Weidner, Martin (2015) Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects | 1.000 | 9 | 4 | 100% |
| 2 | Jushan Bai and Serena Ng Determining the Number of Factors in Approximate Factor Models | 1.000 | 5 | 3 | 100% |
| 3 | Bai, Jushan (2009) Panel data models with interactive fixed effects | 0.952 | 22 | 6 | 86% |
| 4 | Freeman, Hugo and Weidner, Martin (2023) Linear panel regressions with two-way unobserved heterogeneity self | 0.928 | 5 | 3 | 80% |
| 5 | M. Hashem Pesaran Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure | 0.644 | 2 | 2 | 100% |
| 6 | De Silva, Vin and Lim, Lek-Heng (2008) Tensor rank and the ill-posedness of the best low-rank approximation problem | 0.644 | 2 | 2 | 100% |
| 7 | Hausman, Jerry and Leonard, Gregory and Zona, J Douglas (1994) Competitive analysis with differenciated products | 0.644 | 2 | 2 | 100% |
| 8 | Berry, Steven T and Haile, Philip A (2021) Foundations of demand estimation | 0.511 | 2 | 1 | 100% |
| 9 | Ahn, Seung C and Horenstein, Alex R (2013) Eigenvalue ratio test for the number of factors | 0.405 | 1 | 1 | 100% |
| 10 | Babii, Andrii and Ghysels, Eric and Pan, Junsu (2022) Tensor Principal Component Analysis | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 29 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Inference after discretizing time-varying unobserved heterogeneity | 0.405 | 1 | 1 |
| 2 | (Debiased) Inference for Fixed Effects Estimators with Three-Dimensional Panel and Network Data | 0.405 | 1 | 1 |
| 3 | Inference on Linear Regressions with Two-Way Unobserved Heterogeneity | 0.405 | 1 | 1 |