Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/260109 
Year of Publication: 
2014
Series/Report no.: 
Working Paper No. 2014:12
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
In a recent study, Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013a) proposes a new factor analytic (FA) method to the estimation of dynamic panel data models, which has the unique and very useful property that it is completely bias-free. However, while certainly appealing, it is restricted to fixed effects models without a unit root. In many situations of practical relevance this is a rather restrictive consideration. The purpose of the current study is therefore to extend the FA approach to cover models with multiple interactive effects and a possible unit root.
Subjects: 
Interactive fixed effects
Dynamic panel data models
Unit root
Factor analytical method
JEL: 
C12
C13
C33
C36
Document Type: 
Working Paper

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