Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach
长记忆下交互固定效应面板模型的稳健推断：频域方法
This paper studies a linear panel data model with interactive fixed effects wherein regressors, factors and idiosyncratic error terms are all stationary but with potential long memory. The setup involves a new formulation of panel data models, where weakly dependent regressors, factors and idiosyncratic errors are embedded as a special case. Standard methods based on principal component decomposition and least squares estimation, as in Bai (2009), are found to be biased and…