Estimating three-dimensional nonlinear panel data models with interactive effects. Issue 10 (7th June 2017)

• Record Type: Journal Article
• Authors: Ye, Xiaoqing; Wu, Xiangjun
• Is Part Of: Applied economics letters. Volume 24:Issue 10(2017)
• Page Start: 708
• Page End: 712
• Publication Date: 2017-06-07
• Subjects: Three-dimensional panel data models -- smooth transition -- interactive effects -- NLS-PCA-GS -- GMM-PCA-GS; C23 -- C26 -- C63; Economics -- Periodicals; Economics, Mathematical -- Periodicals; 330
• DOI: 10.1080/13504851.2016.1223807
• Languages: English
• ISSNs: 1350-4851

Abstract

ABSTRACT: This article considers two three-step estimation approaches to three-dimensional nonlinear panel data models with interactive effects correlated with the independent variables. We propose a Nonlinear Least Squares-Principal Component Analysis-Grid Search iterated approach to estimate the static model, and a GMM-PCA-GS iterated method to the dynamic model. Monte Carlo experiments examine the finite sample performance of the methods.