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Fixed-b Estimation and Inference in Heterogenous Dynamic Cointegrated Panels
Sender, Samuel J. - 2017
We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general time-series and cross-section dependence and heterogeneity.Central to this literature are the fully-modified OLS of Phillips and Hansen (1990) that use a spectral...
Persistent link: https://www.econbiz.de/10012970628
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High-Dimensional Panel Data with Time Heterogeneity : Estimation and Inference
Zhu, Yinchu - 2017
We consider high-dimensional panel data models (large cross sections and long time horizons) with interactive fixed …
Persistent link: https://www.econbiz.de/10012970967
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Doubly robust difference-in-differences estimators
Sant'Anna, Pedro H. C.; Zhao, Jun - In: Journal of econometrics 219 (2020) 1, pp. 101-122
Persistent link: https://www.econbiz.de/10012483192
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Inference on Difference-in-Differences average treatment effects : a fixed-b approach
Sun, Yu; Yan, Karen X. - In: Journal of econometrics 211 (2019) 2, pp. 560-588
Persistent link: https://www.econbiz.de/10012303843
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On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence
Bai, Jushan - 2011
Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is … difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a … factor structure. We derive the limiting distribution of a fully modified estimator for the panel cointegrating coefficients …
Persistent link: https://www.econbiz.de/10013126684
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Estimation and inference in heterogeneous spatial panels with a multifactor error structure
Chen, Jia; Shin, Yongcheol; Zheng, Chaowen - In: Journal of econometrics 229 (2022) 1, pp. 55-79
Persistent link: https://www.econbiz.de/10013441830
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Empirical likelihood confidence interval for difference-in-differences estimator with panel data
Tang, Shengfang; Huang, Zhilin - In: Economics letters 216 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10013448300
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Empirical Likelihood Confidence Interval for Difference-in-Differences Estimator with Panel Data 1 a B,†
TANG, Shengfang; HUANG, Zhilin - 2022
In this paper, a new empirical likelihood approach is developed to construct the confidence interval for the average treatment effect on the treated under the difference-in-differences framework. The empirical likelihood function is constructed based on a doubly robust moment function of the...
Persistent link: https://www.econbiz.de/10013312054
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A unified framework for dynamic treatment effect estimation in interactive fixed effect models
Brown, Nicholas; Butts, Kyle - 2022
We present a unifying identification strategy of dynamic average treatment effect parameters for staggered interventions when parallel trends are valid only after controlling for interactive fixed effects. This setting nests the usual parallel trends assumption, but allows treated units to have...
Persistent link: https://www.econbiz.de/10013556783
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Fixed effects and causal inference
Millimet, Daniel L.; Bellemare, Marc F. - 2023
Across many disciplines, the fixed effects estimator of linear panel data models is the default method to estimate … panel. We consider several alternatives to the fixed effects estimator with T > 2 when relevant unit-specific heterogeneity … results from multiple linear panel data estimators in applied research. …
Persistent link: https://www.econbiz.de/10014286978