Common correlated effects estimation of nonlinear panel data models
提出一种两步估计法，用于估计含交互固定效应的非线性面板数据模型中观测变量的系数和平均偏效应，并通过蒙特卡洛模拟和实证研究验证了方法的有效性。
Summary This paper focuses on estimating the coefficients and average partial effects of observed regressors in nonlinear panel data models with interactive fixed effects, using the common correlated effects framework. The proposed two-step estimation method involves applying principal component analysis to estimate the latent factors based on cross-sectional averages of the regressors in the first step, and jointly estimating the coefficients of the regressors and the factor loadings in the second step. The asymptotic distributions of the proposed estimators are derived under general conditions, assuming that the number of time-series observations is comparable to the number of cross-sectional observations. To correct for asymptotic biases of the estimators, we introduce both analytical and split-panel jackknife methods, and confirm their good performance in finite samples using Monte Carlo simulations. Finally, the proposed method is used to study the arbitrage behaviour of nonfinancial firms across different security markets.