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半参数时变面板数据模型的估计与推断AI 解读

This article introduces a new semiparametric panel data model that accounts for time-varying coefficients and aligns with recent advancements in factor models featuring nonparametric loading functions. We propose a profile marginal integration (PMI) method to jointly estimate the unknown quantities in a series of easily implementable steps. The asymptotic properties of these estimators are established. Additionally, we provide a hypothesis test to assess the validity of…

含交互固定效应的异质面板二元响应模型AI 解读

In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dimension to diverge. From a practical point of view, the proposed framework can be applied to predict the probability of corporate failure, conduct credit rating analysis, etc. Theoretically and methodologically, we build a link between a maximum likelihood estimation and a least squares approach,…