Recursive Estimation in Large Panel Data Models: Theory and Practice
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DOI: 10.1016/j.jeconom.2020.07.055
Abstract: Bai (2009) proposes a recursive least-squares estimation method for large panel data models with unobservable interactive fixed effects, but the impact of recursion on the asymptotic properties of the least-squares estimators is not taken into… read more here.
Keywords: least squares; data models; panel data; bai 2009 ... See more keywords