A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks
含固定效应的变系数面板模型：理论与美国商业银行应用
In this paper, we propose a semiparametric varying-coefficient categorical panel data model in which covariates (variables affecting the coefficients) are purely categorical. This model has two features: first, fixed effects are included to allow for correlation between individual unobserved heterogeneity and the regressors; second, it allows for cross-sectional dependence through a general spatial error dependence structure. We derive a semiparametric estimator for our…