390
Views
2
CrossRef citations to date
0
Altmetric
Research Article

Determination of different types of fixed effects in three-dimensional panels*

, &

References

  • Allen, D. M. (1974). The relationship between variable selection and data augmentation and a method for prediction. Technometrics 16(1):125–127. doi:10.1080/00401706.1974.10489157
  • Andrews, D. W. K. (1991). Asymptotic optimality of generalized CL, cross-validation, and generalized cross-validation in regression with heteroskedastic errors. Journal of Econometrics 47(2-3):359–377. doi:10.1016/0304-4076(91)90107-O
  • Anderson, J., van Wincoop, E. (2003). Gravity with gravitas: a solution to the border puzzle. American Economic Review 93(1):170–192. doi:10.1257/000282803321455214
  • Bai, J. (2009). Panel data models with interactive fixed effects. Econometrica 77:1229–1279.
  • Baier, S. L., Bergstrand, J. H. (2007). Do free trade agreements actually increase members’ international trade? Journal of International Economics 71(1):72–95. doi:10.1016/j.jinteco.2006.02.005
  • Balazsi, L., Mátyás, L., Wansbeek, T. (2017). Fixed effects models. In: L. Matyas, eds., The Econometrics of Multi-Dimensional Panels: Theory and Applications, Switzerland: Springer, pp. 1–34.
  • Balazsi, L., Mátyás, L., Wansbeek, T. (2018). The estimation of multidimensional fixed effects panel data models. Econometric Reviews 37(3):212–227. doi:10.1080/07474938.2015.1032164
  • Baltagi, B. H. (2013). Econometric Analysis of Panel Data. 5th ed. West Sussex: John Wiley & Sons.
  • Baltagi, B. H., Egger, P., Pfaffermayr, M. (2003). A generalized design for bilateral trade flow models. Economics Letters 80(3):391–397. doi:10.1016/S0165-1765(03)00115-0
  • Baldwin, R., Taglioni, D. (2006). Gravity for dummies and dummies for gravity equations. Working Paper. No. 12516, National Bureau of Economic Research.
  • Berthélemy, J.-C., Tichit, A. (2004). Bilateral donors’ aid allocation decisions– a three-dimensional panel analysis. International Review of Economics & Finance 13(3):253–274. doi:10.1016/j.iref.2003.11.004
  • Bosq, D. (1998). Nonparametric Statistics for Stochastic Processes, New York: Springer.
  • Cheng, I. H., Wall, H. J. (2005). Controlling for heterogeneity in gravity models of trade and integration. Review 87(1):49–63. doi:10.20955/r.87.49-64
  • Davis, P. (2002). Estimating multi-way error components models with unbalanced data structures. Journal of Econometrics 106(1):67–85. doi:10.1016/S0304-4076(01)00087-2
  • Dhaene, G., Jochmans, K. (2015). Split-panel jackknife estimation of fixed-effect models. The Review of Economic Studies82(3):991–1030. doi:10.1093/restud/rdv007
  • Efron, B. (1983). Estimating the error rate of a prediction rule: improvement on cross-validation. Journal of the American Statistical Association 78(382):316–331. doi:10.1080/01621459.1983.10477973
  • Efron, B. (1986). How biased is the apparent error rate of a prediction rule. Journal of the American Statistical Association 81(394):461–470. ? doi:10.1080/01621459.1986.10478291
  • Egger, P. (2000). A note on the proper econometric specification of the gravity equation. Economics Letters 66(1):25–31. doi:10.1016/S0165-1765(99)00183-4
  • Egger, P., Pfaffermayr, M. (2003). The proper panel econometric specification of the gravity equation: a three-way model with bilateral interaction effects. Empirical Economics 28(3):571–580. doi:10.1007/s001810200146
  • Feenstra, R. C. (2016). Advanced International Trade: Theory and Evidence. Princeton, New Jersey: Princeton University Press.
  • Geisser, S. (1975). The predictive sample reuse method with applications. Journal of the American Statistical Association 70(350):320–328. doi:10.1080/01621459.1975.10479865
  • Goldhader, D. D., Brewer, D. J., Anderson, D. J. (1999). A three-way error components analysis of educational productivity. Education Economics 7(3):199–208. doi:10.1080/09645299900000018
  • Hansen, B. E., Racine, J. (2012). Jackknife model averaging. Journal of Econometrics 167(1):38–46. doi:10.1016/j.jeconom.2011.06.019
  • Head, K., Mayer, T. (2014). Gravity equations: Workhorse, toolkit, and cookbook. In G. Gopinath, E. Helpman, & K. Rogoff, eds., Handbook of International Economics, Vol. 4, Amsterdam: Elsevier-North Holland, pp. 131–195.
  • Hsiao, C. (2014). Analysis of Panel Data, 3rd ed., Cambridge: Cambridge University Press.
  • Leeb, H., Pötscher, B. (2005). Model selection and inference: Facts and fiction. Econometric Theory21(01):21–59. doi:10.1017/S0266466605050036
  • Li, K.-C. (1987). Asymptotic optimality for Cp, CL, cross-validation and generalized cross-validation: discrete index set. Annals of Statistics 15:958–975.
  • Lu, X., Su, L. (2015). Jackknife model averaging for quantile regressions. Journal of Econometrics188(1):40–58. doi:10.1016/j.jeconom.2014.11.005
  • Lu, X., Su, L. (2016). Shrinkage estimation of dynamic panel data models with interactive fixed effects. Journal of Econometrics 190(1):148–175. doi:10.1016/j.jeconom.2015.09.005
  • Lu, X., Su, L. (2020). Determining individual or time fixed effects in panel data models. Journal of Econometrics, forthcoming
  • Lu, X., Su, L. (2019). Estimation and inference for three-dimensional factor models. Working Paper., Singapore Management University.
  • Mátyás, L. (1997). Proper econometric specification of the gravity model. The World Economy 20:363–369.
  • Mátyás, L. (2017). The Econometrics of Multi-Dimensional Panels: Theory and Applications. Springer, Switzerland.
  • Pesaran, M. H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74(4):967–1012. doi:10.1111/j.1468-0262.2006.00692.x
  • Picard, R. R., Cook, R. D. (1984). Cross-validation of regression models. Journal of the American Statistical Association 79(387):575–583. doi:10.1080/01621459.1984.10478083
  • Quenouille, M. H. (1956). Notes on bias in estimation. Biometrika 43(3-4):353–360. doi:10.1093/biomet/43.3-4.353
  • Samaniego, R. M., Sun, J. Y. (2015). Technology and contractions: evidence from manufacturing. European Economic Review 79:172–195. doi:10.1016/j.euroecorev.2015.07.006
  • Shao, J. (1993). Linear model selection by cross-validation. Journal of the American Statistical Association 88(422):486–494. doi:10.1080/01621459.1993.10476299
  • Shimer, R., Smith, L. (2000). Assortative matching and search. Econometrica 68(2):343–369. doi:10.1111/1468-0262.00112
  • Stone, C. (1974). Cross-validatory choice and assessment of statistical predictions. Journal of the Royal Statistical Society: Series B (Methodological) 36(2):111–147. doi:10.1111/j.2517-6161.1974.tb00994.x
  • Su, L., Shi, Z., Phillips, P. C. B. (2016). Identifying latent structures in panel data. Econometrica 84(6):2215–2264. doi:10.3982/ECTA12560
  • Tukey, J. W. (1958). Bias and confidence in not-quite large sample. Annals of Mathematical Statistics 29:614.
  • Wahba, G., Wold, S. (1975). A completely automatic french curve: fitting spline functions by cross-validation. Communications in Statistics 4(1):1–17. doi:10.1080/03610927508827223
  • Wu, J., Li, G. (2014). Moment-based tests for individual and time effects in panel data models. Journal of Econometrics 178:569–581. doi:10.1016/j.jeconom.2013.08.020

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.