Recursive estimation in large panel data models: Theory and practice

Bai (2009) proposes recursive estimation for panel data models with interactive effects. We study the behaviours of this recursive estimator. The recursive formula is established that shows the behaviours of recursive estimators depend on the initial estimator, the population structure and the itera...

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Bibliographic Details
Published in:	Journal of econometrics Vol. 224; no. 2; pp. 439 - 465
Main Authors:	Jiang, Bin, Yang, Yanrong, Gao, Jiti, Hsiao, Cheng
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.10.2021 Elsevier Sequoia S.A
Subjects:	Asymptotic methods Central limit theorem econometrics Estimating techniques Estimation exhibitions Factor model Grammatical aspect Initial estimation Iterative methods Longitudinal studies Multiplicative structure Nonlinear optimization Panel data population structure Recursion Recursive algorithms Studies Theorems Initial estimation Multiplicative structure C33 Factor model C13 Nonlinear optimization
ISSN:	0304-4076, 1872-6895
Online Access:	Get full text
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