M. Hashem Pesaran, Liying Yang
arXiv 18 Oct 2023 · Econometrics
arXiv:2310.11680 · PDF · Extracted main text
The commonly used two-way fixed effects estimator is biased under correlated heterogeneity and can lead to misleading inference. This paper proposes a new trimmed mean group (TMG) estimator which is consistent at the irregular rate of n^{1/3} even if the time dimension of the panel is as small as the number of its regressors. Extensions to panels with time effects are provided, and a Hausman test of correlated heterogeneity is proposed. Small sample properties of the TMG estimator (with and without time effects) are investigated by Monte Carlo experiments and shown to be satisfactory and perform better than other trimmed estimators proposed in the literature. The proposed test of correlated heterogeneity is also shown to have the correct size and satisfactory power. The utility of the TMG approach is illustrated with an empirical application.
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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 | Chamberlain, Gary (1992) https://doi.org/10.2307/2951584Efficiency bounds for semiparametric regression | 0.644 | 4 | 1 | 100% |
| 2 | Peng, Liang (2001) https://doi.org/10.1016/S0167-7152(00)00203-0Estimating the mean of a heavy tailed distribution | 0.644 | 4 | 1 | 100% |
| 3 | Pesaran, M Hashem and Smith, Ron and Im, Kyung So (1996) https://doi.org/10.1007/978-94-009-0137-7_8Dynamic linear models for heterogenous panels self | 0.644 | 4 | 1 | 100% |
| 4 | Pesaran, M Hashem and Smith, Ron (1995) https://doi.org/10.1016/0304-4076(94)01644-FEstimating long-run relationships from dynamic heterogeneous panels self | 0.644 | 4 | 1 | 100% |
| 5 | Pesaran, M Hashem and Yamagata, Takashi (2008) https://doi.org/10.1016/j.jeconom.2007.05.010Testing slope homogeneity in large panels self | 0.644 | 4 | 1 | 100% |
| 6 | Graham, Bryan S and Powell, James L (2012) https://doi.org/10.3982/ECTA8220Identification and estimation of average partial effects in “irregular” correlated random coeffi… | 0.598 | 14 | 1 | 64% |
| 7 | Embrechts, Paul and Kluppelberg, Claudia and Mikosch, Thomas (1997) https://doi.org/10.1007/978-3-642-33483-2Modelling Extremal Events | 0.585 | 3 | 1 | 100% |
| 8 | Wooldridge, Jeffrey M (2005) https://doi.org/10.1162/0034653053970320Fixed-effects and related estimators for correlated random-coefficient and treatment-eff… | 0.585 | 3 | 1 | 100% |
| 9 | Ma, Xinwei and Wang, Jingshen (2020) https://doi.org/10.1080/01621459.2019.1660173Robust inference using inverse probability weighting | 0.511 | 2 | 1 | 100% |
| 10 | Pesaran, M Hashem (2015) https://doi.org/10.1093/acprof:oso/9780198736912.001.0001Time Series and Panel Data Econometrics self | 0.405 | 2 | 1 | 50% |
Showing the top 10 of 22 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Two-Way Mean Group Estimators for Heterogeneous Panel Models with Fixed $T$ | 0.644 | 2 | 2 |