A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data
大面板交互效应模型中应对异方差、误差序列相关与斜率异质性的稳健方法
In this article, we propose a robust approach against heteroscedasticity, error serial correlation and slope heterogeneity in linear models with interactive effects for large panel data. First, consistency and asymptotic normality of the pooled iterated principal component (IPC) estimator for random coefficient and homogeneous slope models are established. Then, we prove the asymptotic validity of the associated Wald test for slope parameter restrictions based on the panel…