Second-Generation Heterogeneous Panel Data Model with Individual and Common Shocks
包含个体冲击与共同冲击的第二代异质面板模型
We study estimation of the mean slope in heterogeneous panels that combine cross-sectional dependence from unobserved common factors with unit-specific structural breaks occurring at different dates. We organize the available second-generation Mean Group estimators into a regime map indexed by the cross-section size, the strength of the cross-sectional dependence, and the nature of the structural change, and we examine two estimators for the small-to-moderate-dependence…