References
- Ahn, S. C., Y. H. Lee, and P. Schmidt. 2013. Panel data models with multiple time-varying individual effects. Journal of Econometrics 174 (1):1–14. doi:10.1016/j.jeconom.2012.12.002.
- Bai, J. 2003. Inferential theory for factor models of large dimension. Econometrica 71 (1):135–71. doi:10.1111/1468-0262.00392.
- Bai, J. 2009. Panel data models with interactive fixed effects. Econometrica 77:1229–79.
- Hayakawa, K., M. H. Pesaran, and L. V. Smith. 2018. Short T dynamic panel data models with individual, time and interactive effects. Working paper.
- Holtz-Eakin, D., W. K. Newey, and H. Rosen. 1988. Estimating vector autoregressions with panel data. Econometrica 56 (6):1371–95. doi:10.2307/1913103.
- Mundlak, Y. 1978. On the pooling of time series and cross section data. Econometrica 46 (1):69–85. doi:10.2307/1913646.
- Nauges, C., and A. Thomas. 2003. Consistent estimation of dynamic panel data models with time-varying individual effects. Annales d′Economie et de Statistique 70:53–74.
- Pesaran, M. H. 2006. Estimation and inference in large heterogeneous panels with multifactor error structure. Econometrica 74 (4):967–1012. doi:10.1111/j.1468-0262.2006.00692.x.
- Su, L., and S. Jin. 2012. Sieve estimation of panel data models with cross section dependence. Journal of Econometrics 169:34–47.
- Wang, L., and L. Yang. 2007. Spline-backfitted kernel smoothing of nonlinear additive autoregression model. The Annals of Statistics 35 (6):2474–503. doi:10.1214/009053607000000488.