• Corpus ID: 238634157

Fixed $T$ Estimation of Linear Panel Data Models with Interactive Fixed Effects

@inproceedings{Higgins2021FixedE,
  title={Fixed \$T\$ Estimation of Linear Panel Data Models with Interactive Fixed Effects},
  author={Ayden Higgins},
  year={2021}
}
This paper studies the estimation of linear panel data models with interactive fixed effects, where one dimension of the panel, typically time, may be fixed. To this end, a novel transformation is introduced that reduces the model to a lower dimension, and, in doing so, relieves the model of incidental parameters in the cross-section. The central result of this paper demonstrates that transforming the model and then applying the principal component (PC) estimator of \cite{bai_panel_2009… 

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