Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice

Guohua Feng, Bin Peng, Liangjun Su*, Thomas Tao Yang

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    4 Citations (Scopus)

    Abstract

    In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the investigation of many economic issues. The asymptotic theories are established accordingly. Our Monte Carlo simulations show that our methodology works well for large N and T cases. In our empirical application, we illustrate our model by analysing the returns to scale of large commercial banks in the U.S.

    Original languageEnglish
    Pages (from-to)607-622
    Number of pages16
    JournalJournal of Econometrics
    Volume212
    Issue number2
    DOIs
    Publication statusPublished - Oct 2019

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