Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects
含交互固定效应的高维面板数据模型:估计与推断
We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a non-trivial extension of the very popular common correlated effects (CCE) approach. Roughly speaking, we proceed as follows: We first construct a projection device to eliminate the unobserved factors from the model by applying a dimensionality reduction transform to the matrix of cross-sectionally averaged…