Hyungsik Roger Moon, Martin Weidner
arXiv 1 May 2026 · Econometrics
arXiv:2605.00612 · PDF · Extracted main text
We analyze linear panel regression models with interactive fixed effects and predetermined regressors, for example lagged-dependent variables. The first-order asymptotic theory of the least squares (LS) estimator of the regression coefficients is worked out in the limit where both the cross-sectional dimension and the number of time periods become large. We find two sources of asymptotic bias of the LS estimator: bias due to correlation or heteroscedasticity of the idiosyncratic error term, and bias due to predetermined (as opposed to strictly exogenous) regressors. We provide a bias-corrected LS estimator. We also present bias-corrected versions of the three classical test statistics (Wald, LR, and LM test) and show their asymptotic distribution is a chi-squared distribution. Monte Carlo simulations show the bias correction of the LS estimator and of the test statistics also work well for finite sample sizes.
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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 | Bai, J (2009) Panel data models with interactive fixed effects | 0.909 | 12 | 6 | 75% |
| 2 | Moon, H. R. and Weidner, M (2015) Linear regression for panel with unknown number of factors as interactive fixed effects self | 0.794 | 16 | 9 | 50% |
| 3 | Latala, R (2005) Some estimates of norms of random matrices | 0.644 | 3 | 2 | 67% |
| 4 | Berry, S., Levinsohn, J., and Pakes, A (1995) Automobile prices in market equilibrium | 0.644 | 2 | 2 | 100% |
| 5 | Gobillon, L. and Magnac, T (2013) Regional policy evaluation: Interactive fixed effects and synthetic controls | 0.644 | 2 | 2 | 100% |
| 6 | Harding, M. and Lamarche, C (2009) A quantile regression approach for estimating panel data models using instrumental variables | 0.644 | 2 | 2 | 100% |
| 7 | Harding, M. and Lamarche, C (2011) Least squares estimation of a panel data model with multifactor error structure and endogenous covariates | 0.644 | 2 | 2 | 100% |
| 8 | Lee, N., Moon, H. R., and Weidner, M (2012) Analysis of interactive fixed effects dynamic linear panel regression with measurement error self | 0.644 | 2 | 2 | 100% |
| 9 | Moon, H., Shum, M., and Weidner, M (2012) Interactive fixed effects in the BLP random coefficients demand model self | 0.644 | 2 | 2 | 100% |
| 10 | Nickell, S (1981) Biases in dynamic models with fixed effects | 0.644 | 2 | 2 | 100% |
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