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
Citation
LU, Xun; MIAO, Ke; and SU, Liangjun.
Determination of different types of fixed effects in three-dimensional panels. (2018). 1-72.
Available at: https://ink.library.smu.edu.sg/soe_research/2186
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.