Online Supplement to an Incidental Parameters Free Inference Approach for Panels with Common Shocks

27 Pages Posted: 28 Feb 2021

See all articles by Arturas Juodis

Arturas Juodis

University of Amsterdam - Amsterdam School of Economics (ASE)

Vasilis Sarafidis

BI Norwegian Business School

Date Written: December 23, 2020

Abstract

This paper is an online supplementary appendix to “An Incidental Parameters Free Inference Approach for Panels with Common Shocks”. Section S.1 of the present Supplementary Appendix studies the properties of the proposed GMM estimators under fixed T asymptotics. Section S.2 analyses the effect of transforming the model in terms of time-specific cross-sectional averages on the proposed estimating equations. Section S.3 considers identification-robust inference, building upon the idea of Anderson and Rubin (1949) and Stock and Wright (2000). Finally, Section S.4 discusses local and global identification for the panel AR(1) model and reports additional Monte Carlo results for this model.

Keywords: Common Factors, GMM, Incidental Parameter Problem, Endogenous Regressors, U-statistic

JEL Classification: C13, C15, C23

Suggested Citation

Juodis, Arturas and Sarafidis, Vasilis, Online Supplement to an Incidental Parameters Free Inference Approach for Panels with Common Shocks (December 23, 2020). Available at SSRN: https://ssrn.com/abstract=3644153 or http://dx.doi.org/10.2139/ssrn.3644153

Arturas Juodis

University of Amsterdam - Amsterdam School of Economics (ASE) ( email )

Roetersstraat 11
Amsterdam, North Holland 1018 WB
Netherlands

Vasilis Sarafidis (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, Victoria 0484
Norway
0484 (Fax)

HOME PAGE: http://sites.google.com/view/vsarafidis

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