BID Brown Bag Seminar: Semiparametric Single-Index Panel Data Models with Interactive Fixed Effects: Theory and Practice
|Speaker:||Bin Peng, University of Bath|
|Date: ||Tuesday 9 May 2017|
|Time: ||12.30 - 13.30|
|Location: ||Matrix Lecture Theatre, Building One|
In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the investigation of many economic issues. We derive asymptotic theories for both the case where the link function is integrable and the case where the link function is non-integrable. Our Monte Carlo simulations show that our methodology works well for large N and T cases. In our empirical application, we illustrate our model by analyzing the returns to scale of large commercial banks in the U.S. Our empirical results suggest that the vast majority of U.S. large banks exhibit increasing returns to scale.