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具有一般因子与解释变量的交互效应面板模型AI 解读

This paper considers a model with general regressors and unobservable common factors. An estimator based on iterated principal component analysis is proposed, which is shown to be not only asymptotically normal, but under certain conditions also free of the otherwise so common asymptotic incidental parameters bias. Interestingly, the conditions required to achieve unbiasedness become weaker the stronger the trends in the factors, and if the trending is strong enough,…

大型面板数据模型的递归估计：理论与实践AI 解读

Bai (2009) proposes recursive estimation for panel data models with interactive effects. We study the behaviours of this recursive estimator. The recursive formula is established that shows the behaviours of recursive estimators depend on the initial estimator, the population structure and the iterative steps. Under some general scenarios, we find that the recursive estimator becomes consistent after the first iteration from any initials. We also obtain the optimal number of…