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Robust interactive fixed effects

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Abstract
Robust estimators are proposed for the interactive fixed effects panel data model. In each iteration of the estimation algorithm the coefficients of the observable variables are estimated with robust regressions and the latent factors are extracted with robust principal component analysis. The reliability of the proposed procedure is documented in an extensive simulation study. The procedure is applied to cluster annual income growth time series of Belgian independents.
Keywords
Statistics, Probability and Uncertainty, Economics and Econometrics, Statistics and Probability

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Citation

Please use this url to cite or link to this publication:

MLA
Boudt, Kris, and Ewoud Heyndels. “Robust Interactive Fixed Effects.” ECONOMETRICS AND STATISTICS, 2022, doi:10.1016/j.ecosta.2022.01.002.
APA
Boudt, K., & Heyndels, E. (2022). Robust interactive fixed effects. ECONOMETRICS AND STATISTICS. https://doi.org/10.1016/j.ecosta.2022.01.002
Chicago author-date
Boudt, Kris, and Ewoud Heyndels. 2022. “Robust Interactive Fixed Effects.” ECONOMETRICS AND STATISTICS. https://doi.org/10.1016/j.ecosta.2022.01.002.
Chicago author-date (all authors)
Boudt, Kris, and Ewoud Heyndels. 2022. “Robust Interactive Fixed Effects.” ECONOMETRICS AND STATISTICS. doi:10.1016/j.ecosta.2022.01.002.
Vancouver
1.
Boudt K, Heyndels E. Robust interactive fixed effects. ECONOMETRICS AND STATISTICS. 2022;
IEEE
[1]
K. Boudt and E. Heyndels, “Robust interactive fixed effects,” ECONOMETRICS AND STATISTICS, 2022.
@article{8752238,
  abstract     = {{Robust estimators are proposed for the interactive fixed effects panel data model. In each iteration of the estimation algorithm the coefficients of the observable variables are estimated with robust regressions and the latent factors are extracted with robust principal component analysis. The reliability of the proposed procedure is documented in an extensive simulation study. The procedure is applied to cluster annual income growth time series of Belgian independents.}},
  author       = {{Boudt, Kris and Heyndels, Ewoud}},
  issn         = {{2468-0389}},
  journal      = {{ECONOMETRICS AND STATISTICS}},
  keywords     = {{Statistics,Probability and Uncertainty,Economics and Econometrics,Statistics and Probability}},
  language     = {{eng}},
  title        = {{Robust interactive fixed effects}},
  url          = {{http://dx.doi.org/10.1016/j.ecosta.2022.01.002}},
  year         = {{2022}},
}

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