A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data

References

• Ahn, S., and Horenstein, A. (2013), “Eigenvalue Ratio Test for the Number of Factors,” Econometrica, 81, 1203–1227.
   Web of Science ®Google Scholar
• Ando, T., and Bai, J. (2017), “Clustering Huge Number of Financial Time Series: A Panel Data Approach with High-Dimensional Predictors and Factor Structures,” Journal of the American Statistical Association, 112, 1182–1198. DOI: 10.1080/01621459.2016.1195743.
   Web of Science ®Google Scholar
• Arellano, M. (1987), “Computing Robust Standard Errors for Within Group Estimators,” Oxford Bulletin of Economics and Statistics, 49, 431–434. DOI: 10.1111/j.1468-0084.1987.mp49004006.x.
   Web of Science ®Google Scholar
• Bai, J. (2009), “Panel Data Models with Interactive Fixed Effects,” Econometrica, 77, 1229–1279.
   Web of Science ®Google Scholar
• Bai, J., and Li, K., (2014), “Theory and Methods of Panel Data Models with Interactive Effects,” Annals of Statistics, 42, 142–170.
   Web of Science ®Google Scholar
• Bai, J., and Liao, Y. (2017), “Inferences in Panel Data with Interactive Effects Using Large Covariance Matrices,” Journal of Econometrics, 200, 59–78. DOI: 10.1016/j.jeconom.2017.05.014.
   Web of Science ®Google Scholar
• Bai, J., and Ng, S. (2002), “Determining the Number of Factors in Approximate Factor Models,” Econometrica, 70, 191–221. DOI: 10.1111/1468-0262.00273.
   Web of Science ®Google Scholar
• Bonhomme, S., and Manresa, E. (2015), “Grouped Patterns of Heterogeneity in Panel Data,” Econometrica, 83, 1147–1184. DOI: 10.3982/ECTA11319.
   Web of Science ®Google Scholar
• Chamberlain, G. (1980), “Analysis of Covariance with Qualitative Data,” Review of Economic Studies, 47, 225–238. DOI: 10.2307/2297110.
   Web of Science ®Google Scholar
• Cui, G., Norkute, M., Sarafidis, V., and Yamagata, T. (2021), “Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects,” Econometrics Journal, 25, 340–361. DOI: 10.1093/ectj/utab029.
   Web of Science ®Google Scholar
• Dhaene, G., and Jochmans, K. (2015), “Split-Panel Jackknife Estimation of Fixed-Effect Models,” Review of Economic Studies, 82, 991–1030. DOI: 10.1093/restud/rdv007.
   Web of Science ®Google Scholar
• Feldstein, M. and Horioka, C. Y. (1980), “Domestic Saving and International Capital Flows,” Economic Journal, 90, 314–329. DOI: 10.2307/2231790.
   Web of Science ®Google Scholar
• Fernández, V., and Weidner, M. (2016), “Individual and Time Effects in Nonlinear Panel Models with Large N, T,” Journal of Econometrics, 192, 291–312. DOI: 10.1016/j.jeconom.2015.12.014.
   Web of Science ®Google Scholar
• Galvao, A. F., and Kato, K. (2014), “Estimation and Inference for Linear Panel Data Models Under Misspecification When both n and T are Large,” Journal of Business and Economic Statistics, 32, 285–309. DOI: 10.1080/07350015.2013.875473.
   Web of Science ®Google Scholar
• Giannone, D., and Lenza, M. (2010), “The Feldstein–Horioka Fact,” in NBER International Seminar on Macroeconomics (Vol. 6), eds. R. Clarida and F. Giavazzi, pp. 103–117, Chicago, IL: University of Chicago Press.
   Google Scholar
• Ginama, I., Hayakawa, K., and Kanemi, T. (2018), “Examining the Feldstein–Horioka Puzzle Using Common Factor Panels and Interval Estimation,” Japan and the World Economy, 48, 11–21. DOI: 10.1016/j.japwor.2018.06.001.
   Web of Science ®Google Scholar
• Gonçalves, S., and Perron, B. (2014), “Bootstrapping Factor-Augmented Regression Models,” Journal of Econometrics, 182, 156–173. DOI: 10.1016/j.jeconom.2014.04.015.
   Web of Science ®Google Scholar
• Gonçalves, S., and Perron, B. (2020), “Bootstrapping Factor Models with Cross Sectional Dependence,” Journal of Econometrics, 218, 476–495.
   Web of Science ®Google Scholar
• Greenaway-McGrevy, R., Han, C., and Sul, D. (2012), “Asymptotic Distribution of Factor Augmented Estimators for Panel Regression,” Journal of Econometrics, 169, 48–45. DOI: 10.1016/j.jeconom.2012.01.003.
   Web of Science ®Google Scholar
• Hall, P. (1992), The Bootstrap and Edgeworth Expansion, New York: Springer.
   Google Scholar
• Hansen, C. (2007), “Asymptotic Properties of a Robust Variance Matrix Estimator for Panel Data When t is Large,” Journal of Econometrics, 141, 597–620. DOI: 10.1016/j.jeconom.2006.10.009.
   Web of Science ®Google Scholar
• Li, K., Cui, G., and Lu, L. (2020), “Efficient Estimation of Heterogeneous Coefficients in Panel Data Models with Common Shocks,” Journal of Econometrics, 216, 327–353. DOI: 10.1016/j.jeconom.2019.08.011.
   Web of Science ®Google Scholar
• Moon, H. R., and Weidner, M. (2015), “Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects,” Econometrica, 83, 1543–1579. DOI: 10.3982/ECTA9382.
   Web of Science ®Google Scholar
• Mundlak, Y. (1978), “On the Pooling of Time Series and Cross Section Data,” Econometrica, 46, 69–85. DOI: 10.2307/1913646.
   Web of Science ®Google Scholar
• Newey, W. K., and West, K. D. (1987), “A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,” Econometrica, 55, 703–708. DOI: 10.2307/1913610.
   Web of Science ®Google Scholar
• Norkutė, M., Sarafidis, V., Yamagata, T., and Cui, G. (2021), “Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure,” Journal of Econometrics, 220, 416–446. DOI: 10.1016/j.jeconom.2020.04.008.
   Web of Science ®Google Scholar
• Obstfeld, M., and Rogoff, K. (2000), “The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?,” NBER Macroeconomics Annual, 15, 339–390. DOI: 10.1086/654423.
   Web of Science ®Google Scholar
• Pesaran, M. H. (2006), “Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure,” Econometrica, 74, 967–1012. DOI: 10.1111/j.1468-0262.2006.00692.x.
   Web of Science ®Google Scholar
• Pesaran, M. H., and Yamagata, T. (2008), “Testing Slope Homogeneity in Large Panels,” Journal of Econometrics, 142, 50–93. DOI: 10.1016/j.jeconom.2007.05.010.
   Web of Science ®Google Scholar
• Reese, S., and Westerlund, J. (2018), “Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors,” Econometric Reviews, 37, 401–465. DOI: 10.1080/07474938.2015.1106758.
   Web of Science ®Google Scholar
• Su, L. and Chen, Q. (2013), “Testing Homogeneity in Panel Data Models with Interactive Fixed Effects,” Econometric Theory, 29, 1079–1135. DOI: 10.1017/S0266466613000017.
   Google Scholar
• Su, L., and Ju, G. (2018), “Identifying Latent Grouped Patterns in Panel Data Models with Interactive Fixed Effects,” Journal of Econometrics, 206, 554–573. DOI: 10.1016/j.jeconom.2018.06.014.
   Web of Science ®Google Scholar
• Vogelsang, T. J. (2012), “Heteroskedasticity, Autocorrelation, and Spatial Correlation Robust Inference in Linear Panel Models with Fixed-Effects,” Journal of Econometrics, 166, 303–319. DOI: 10.1016/j.jeconom.2011.10.001.
   Web of Science ®Google Scholar
• Westerlund, J. (2018), “CCE in Panels with General Unknown Factors,” Econometrics Journal, 21, 264–276. DOI: 10.1111/ectj.12110.
   Web of Science ®Google Scholar
• Westerlund, J., and Urbain, J. P. (2015), “Cross-Sectional Averages versus Principal Components,” Journal of Econometrics, 185, 372–377. DOI: 10.1016/j.jeconom.2014.09.014.
   Web of Science ®Google Scholar
• Wooldridge, J. (2010), Econometric Analysis of Cross Section and Panel Data, Cambridge, MA: MIT Press.
   Google Scholar