Regime Switching Panel Data Models with Interactive Fixed Effects
Regime Switching Panel Data Models with Interactive Fixed Effects
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DOI：
10.2139/ssrn.3282793
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发表时间：
2018-11
期刊：
影响因子：
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通讯作者：
Tingting Cheng;Jiti Gao;Yayi Yan
中科院分区：
文献类型：
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作者：
Tingting Cheng;Jiti Gao;Yayi Yan
摘要本文介绍了一种具有交互固定效应的区域切换面板数据模型。我们提出了一种极大似然估计方法，并提出了一种估计未知参数的期望和条件最大化算法。仿真结果表明，该算法在有限样本下效果良好。最大似然估计的偏差可以忽略不计，最大似然估计的均方根误差随着截面单元数N的增加或时间周期T的增大而减小。
Abstract In this paper, we introduce a regime switching panel data model with interactive fixed effects. We propose a maximum likelihood estimation method and develop an expectation and conditional maximization algorithm to estimate the unknown parameters. Simulation results show that the algorithm works well in finite samples. The biases of the maximum likelihood estimates are negligible and the root mean squared errors of the maximum likelihood estimates decrease with the increase of either the number of the cross-sectional units N or the size of the time periods T .