Two-Way Mean Group Estimators for Heterogeneous Panel Models with Fixed T
针对固定T框架下具有双向固定效应和交互固定效应的相关随机系数面板数据模型，提出了双向均值组估计量，并用留一法刀切法进行有效推断，应用于医疗支出与收入关系研究。
Summary We consider a correlated random coefficient panel data model with two-way fixed effects and interactive fixed effects in a fixed T framework. The model allows slope coefficients to be arbitrarily correlated with the regressors, accommodating flexible forms of heterogeneity. We propose a two-way mean group estimator for the expected value of the slope coefficient and propose a leave-one-out jackknife method for valid inference. We apply our new methods to examine the relationship between healthcare expenditure and income.