Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects
含交互固定效应的异质动态面板模型：Oracle 有效估计
We propose a two-step procedure to estimate a heterogeneous dynamic panel data model with interactive fixed effects. We establish the asymptotic properties of the estimators and show that the final estimator is oracle efficient. We also propose a specification test for the null hypothesis of homogeneous slopes and study the asymptotic properties of the test statistic under both local and global alternatives. Simulations demonstrate the fine performance of the estimator and…