Publication Type

Working Paper

Version

publishedVersion

Publication Date

4-2018

Abstract

In this paper we propose a jackknife method to determine the type of fixed effects in three-dimensional panel data models. We show that with probability approaching 1, the method can select the correct type of fixed effects in the presence of only weak serial or cross-sectional dependence among the error terms. In the presence of strong serial correlation, we propose a modified jackknife method and justify its selection consistency. Monte Carlo simulations demonstrate the excellent finite sample performance of our method. Applications to two datasets in macroeconomics and international trade reveal the usefulness of our method.

Keywords

Consistency, Cross-validation, Fixed effect, Individual effect, Jackknife, Three-dimensional panel.

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

72

Publisher

SMU Economics and Statistics Working Paper Series, No. 10-2018

City or Country

Singapore

Copyright Owner and License

Authors

Included in

Econometrics Commons

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