Two-Way Mean Group Estimators for Heterogeneous Panel Models with Fixed T
固定时间维度下异质性面板模型的双向均值组估计
We consider a correlated random coefficient panel data model with two-way fixed effects and interactive fixed effects in a fixed T framework. We propose a two-way mean group (TW-MG) estimator for the expected value of the slope coefficient and propose a leave-one-out jackknife method for valid inference. We also consider a pooled estimator and provide a Hausman-type test for poolability. Simulations demonstrate the excellent performance of our estimators and inference…