Determination of different types of fixed effects in three-dimensional panels*
提出一种刀切法，用于在三维面板数据模型中正确选择固定效应的类型，并通过蒙特卡洛模拟和宏观经济学、国际贸易数据集验证其有效性。
In this paper, we propose a jackknife method to determine the type of fixed effects in three-dimensional panel data models. We show that with probability approaching 1, the method can select the correct type of fixed effects in the presence of only weak serial or cross-sectional dependence among the error terms. In the presence of strong serial correlation, we propose a modified jackknife method and justify its selection consistency. Monte Carlo simulations demonstrate the excellent finite sample performance of our method. Applications to two datasets in macroeconomics and international trade reveal the usefulness of our method.