Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
多因子误差结构下大型面板的聚焦信息准则与模型平均
This article considers model selection and model averaging in panel data models with a multifactor error structure. We investigate the limiting distribution of the common correlated effects estimator in a local asymptotic framework and show that the trade-off between bias and variance remains in asymptotic theory. We then propose a focused information criterion and a plug-in averaging estimator for large heterogeneous panels and examine their theoretical properties. The…