Related papers: Analysis of interactive fixed effects dynamic line…
This paper considers the maximum likelihood estimation of panel data models with interactive effects. Motivated by applications in economics and other social sciences, a notable feature of the model is that the explanatory variables are…
This paper considers the quantile regression model with both individual fixed effect and time period effect for general spatial panel data. Instrumental variable quantile regression estimators will be proposed. Asymptotic properties of the…
This paper proposes a method for estimating multiple change points in panel data models with unobserved individual effects via ordinary least-squares (OLS). Typically, in this setting, the OLS slope estimators are inconsistent due to the…
The present paper proposes a new treatment effects estimator that is valid when the number of time periods is small, and the parallel trends condition holds conditional on covariates and unobserved heterogeneity in the form of interactive…
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism…
This paper investigates nonlinear panel regression models with interactive fixed effects and introduces a general framework for parameter estimation under potentially non-convex objective functions. We propose a computationally feasible…
Panel data methods are widely used in empirical analysis to address unobserved heterogeneity, but causal inference remains challenging when treatments are endogenous and confounding variables high-dimensional and potentially nonlinear.…
In this paper we investigate panel regression models with interactive fixed effects. We propose two new estimation methods that are based on minimizing convex objective functions. The first method minimizes the sum of squared residuals with…
I propose a novel argument to identify economically interpretable intertemporal treatment effects in dynamic regression discontinuity designs (RDDs). Specifically, I develop a dynamic potential outcomes model and reformulate two assumptions…
For discrete panel data, the dynamic relationship between successive observations is often of interest. We consider a dynamic probit model for short panel data. A problem with estimating the dynamic parameter of interest is that the model…
This paper identifies an important bias - termed dynamic bias - in fixed effects panel estimators that arises when dynamic feedback is ignored in the estimating equation. Dynamic feedback occurs if past outcomes impact current outcomes, a…
The panel data regression models have gained increasing attention in different areas of research including but not limited to econometrics, environmental sciences, epidemiology, behavioral and social sciences. However, the presence of…
This paper studies large $N$ and large $T$ conditional quantile panel data models with interactive fixed effects. We propose a nuclear norm penalized estimator of the coefficients on the covariates and the low-rank matrix formed by the…
This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest -- means, variances, and other moments of the random…
Error-in-variables regression is a common ingredient in treatment effect estimators using panel data. This includes synthetic control estimators, counterfactual time series forecasting estimators, and combinations. We study high-dimensional…
We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a non-trivial extension of the very popular common correlated effects…
We introduce a generic class of dynamic nonlinear heterogeneous parameter models that incorporate individual and time fixed effects in both the intercept and slope. These models are subject to the incidental parameter problem, in that the…
This paper introduces unit-specific heterogeneity in panel data threshold regression. We develop the asymptotic theory for models with heterogeneous thresholds, heterogeneous slope coefficients, and interactive fixed effects. The estimation…
We propose a minimum distance estimation approach for quantile panel data models where unit effects may be correlated with covariates. This computationally efficient method involves two stages: first, computing quantile regression within…
A new statistical procedure, based on a modified spline basis, is proposed to identify the linear components in the panel data model with fixed effects. Under some mild assumptions, the proposed procedure is shown to consistently estimate…