Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects
提出两步法估计异质动态面板数据模型，证明估计量具有Oracle有效性，并用于研究美国各县最低工资对就业的异质影响。
We propose a two-step procedure to estimate a heterogeneous dynamic panel data model with interactive fixed effects. We establish the asymptotic properties of the estimators and show that the final estimator is oracle efficient. We also propose a specification test for the null hypothesis of homogeneous slopes and study the asymptotic properties of the test statistic under both local and global alternatives. Simulations demonstrate the fine performance of the estimator and test statistic. The new estimation and inference methods are applied to study the heterogeneous effects of minimum wage on employment across different counties in the United States. Our dynamic model suggests that the changes of employment range from about–1% to 1% when the minimum wage increases by 1%.