Publication Type
Working Paper
Version
publishedVersion
Publication Date
11-2016
Abstract
In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the investigation of many economic issues. We derive asymptotic theories for both the case where the link function is integrable and the case where the link function is non-integrable. Our Monte Carlo simulations show that our methodology works well for large N and T cases. In our empirical application, we illustrate our model by analyzing the returns to scale of large commercial banks in the U.S. Our empirical results suggest that the vast majority of U.S. large banks exhibit increasing returns to scale.
Keywords
Asymptotic theory; Nonlinear panel data model; Interactive fixed effects; Orthogonal series expansion method
Discipline
Econometrics
Research Areas
Econometrics
First Page
1
Last Page
71
Identifier
10.2139/ssrn.2865294
Publisher
SSRN
Citation
FENG, Guohua; PENG, Bin; SU, Liangjun; and YANG, Thomas Tao.
Semiparametric single index panel data models with interactive fixed effects: Theory and practice. (2016). 1-71.
Available at: https://ink.library.smu.edu.sg/soe_research/2056
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.2139/ssrn.2865294