Robust interactive fixed effects

Research output: Contribution to journalArticlepeer-review

Abstract

Robust estimators are proposed for the interactive fixed effects panel data model. In each iteration of the estimation algorithm the coefficients of the observable variables are estimated with robust regressions and the latent factors are extracted with robust principal component analysis. The reliability of the proposed procedure is documented in an extensive simulation study. The procedure is applied to cluster annual income growth time series of Belgian independents.

Original languageEnglish
Pages (from-to)206-223
Number of pages18
JournalEconometrics and Statistics
Volume29
DOIs
Publication statusPublished - Jan 2024

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