Asymptotic Analysis of Panel Regression Models with Unobserved Interactive Individual Effects

具有未观察到的交互个体效应的面板回归模型的渐近分析

• 批准号: 0920903
• 负责人: Hyungsik Moon
• 金额: $ 6.78万
• 依托单位: University of Southern California
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2009
• 资助国家: 美国
• 起止时间: 2009-09-15 至 2011-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0920903&HistoricalAwards=false
• 关键词: Asymptotic; Analysis; Panel; Regression; Models

This project studies a panel regression model where the individual fixed effects interact with common time specific effects. This model is sometimes known as a factor model. The main objective is to establish the general asymptotic theory of the (Gaussian) quasi maximum likelihood estimator and the three classical tests (Wald, likelihood ratio, and Lagrangian multiplier tests) of the panel regression model with interactive fixed effects when both the cross sectional dimension and the time dimension are large. This model will then be extended to the case where the dimension of the factors is not known. The project also investigates the dynamic panel regression model with factors when the dynamic coefficient is close to one.Broader Impact The factor model studied in the project has a wide range of economic applications. These include arbitrage asset pricing models in finance, wage equations in labor economics, and global economy models in international economics. While the proposed research does not directly address these empirical applications, we believe that the proposed research provides new and innovative econometric techniques that can be used by empirical researchers in these areas. The results will be disseminated through publications in high quality journals that are widely read in the profession. The investigator also plans to make these estimation and inference procedures available on his internet web-pages through well documented MATLAB programs. The programs can then be used by other researchers who want to apply these methods.

本计画研究一个面板回归模型，其中个别固定效应与共同时间特定效应相互作用。这个模型有时被称为因子模型。本文的主要目的是建立具有交互固定效应的面板回归模型的（高斯）拟极大似然估计的一般渐近理论和三种经典检验（Wald检验、似然比检验和Lagrangian乘数检验）.然后将该模型扩展到因子维数未知的情况。 本项目还研究了动态系数接近1时的动态面板回归模型。影响范围更广本项目研究的因子模型具有广泛的经济应用。这些包括金融学中的套利资产定价模型，劳动经济学中的工资方程和国际经济学中的全球经济模型。虽然拟议的研究并没有直接解决这些实证应用，我们相信，拟议的研究提供了新的和创新的计量经济学技术，可以使用的实证研究人员在这些领域。 研究结果将通过在业内广泛阅读的高质量期刊上发表的文章传播。 调查员还计划通过有据可查的MATLAB程序在他的互联网网页上提供这些估计和推断程序。 然后，这些程序可以被其他想要应用这些方法的研究人员使用。