Econ Papers Daily / 期刊论文
具有交互固定效应和（相对）小T的面板数据模型
Panel data models with interactive fixed effects and (relatively) small T
摘要
This paper studies the estimation of a linear panel data model with interactive fixed effects. A transformation is introduced which, after having been applied, renders the least squares (LS) estimator of Bai (2009) consistent and asymptotically unbiased when n is large and T is fixed. This is termed the transformed least squares (TLS) estimator. Going further, these properties are shown to also carry over to the large n, large T setting, provided T/n → 0. This contrasts sharply with the usual case, where the LS estimator is, in general, inconsistent when n is large and T is fixed, and is asymptotically biased when both n and T are large.
中文摘要
本文研究具有交互固定效应的线性面板数据模型的估计问题。本文引入一种变换，在应用该变换之后，当n较大且T固定时，Bai（2009）的最小二乘（LS）估计量具有一致性和渐近无偏性。这被称为变换最小二乘（TLS）估计量。进一步地，本文表明，只要T/n → 0，这些性质在n较大、T较大的情形下也同样成立。这与通常情形形成鲜明对比：在通常情形下，当n较大且T固定时，LS估计量一般是不一致的，而当n和T都较大时，则具有渐近偏误。