Robust interactive fixed effects

Onderzoeksoutput: Articlepeer review


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.

Originele taal-2English
Pagina's (van-tot)206-223
Aantal pagina's18
TijdschriftEconometrics and Statistics
StatusPublished - jan 2024


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