Panel treatment effects measurement: Factor or linear projection modelling?
研究了在面板数据中，使用因子模型或线性投影模型测量个体处理效应的方法，发现线性投影在多数样本配置下预测误差更小，并通过模拟和实例验证。
Summary We discuss methods of measuring the treatment effects of a unit through the use of other units in panel data by either the factor‐based (FB) approach or the linear projection (LP) approach under different sample configurations of cross‐sectional dimension and time series dimension . We show that the LP approach in general yields smaller mean square prediction error than the FB approach when either both and are large or fixed and or fixed and large. The Monte Carlo simulation and empirical example are also conducted to consider their finite sample performances.