Xun Lu, Liangjun Su
arXiv 14 Aug 2025 · Econometrics · 1 citations (OpenAlex)
arXiv:2508.10302 · PDF · DOI · OpenAlex · Extracted main text
We consider a correlated random coefficient panel data model with two-way fixed effects and interactive fixed effects in a fixed T framework. We propose a two-way mean group (TW-MG) estimator for the expected value of the slope coefficient and propose a leave-one-out jackknife method for valid inference. We also consider a pooled estimator and provide a Hausman-type test for poolability. Simulations demonstrate the excellent performance of our estimators and inference methods in finite samples. We apply our new methods to two datasets to examine the relationship between health-care expenditure and income, and estimate a production function.
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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 | Pesaran, M. H. and Smith, R (1995) Estimating long-run relationships from dynamic heterogeneous panels | 0.969 | 11 | 5 | 91% |
| 2 | Pesaran, M. H (2006) Estimation and inference in large heterogeneous panels with a multifactor error structure | 0.928 | 10 | 4 | 80% |
| 3 | Kapetanios, G., Serlenga, L., and Shin, Y (2023) Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects | 0.737 | 3 | 2 | 100% |
| 4 | Häusler, E. and Luschgy, H (2015) Stable convergence and stable limit theorems, volume 74 | 0.659 | 14 | 4 | 29% |
| 5 | Hsiao, C (2022) Analysis of Panel Data | 0.644 | 2 | 2 | 100% |
| 6 | Hausman, J. A (1978) Specification tests in econometrics | 0.644 | 2 | 2 | 100% |
| 7 | Lu, X. and Su, L (2023) Uniform inference in linear panel data models with two-dimensional heterogeneity self | 0.644 | 2 | 2 | 100% |
| 8 | Pesaran, M. H. and Yang, L (2024) Trimmed mean group estimation of average effects in ultra short t panels under correlated heterogeneity | 0.644 | 2 | 2 | 100% |
| 9 | van der Vaart, A. W. and Wellner, J. A (2023) Weak Convergence and Empirical Processes: With Applications to Statistics | 0.644 | 2 | 2 | 100% |
| 10 | Westerlund, J. and Kaddoura, Y (2022) CCE in heterogenous fixed-t panels | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 40 scored citations.