Job Market Paper
"A Combined Estimator for Semi-parametric Panel Model."
Abstract: In this paper, we propose a combined estimator from combining the fixed effects and random effects estimators, with the weight depending on the Hausman (1978) statistic in the semi-parametric panel model. Using a local-to-exogenous asymptotic condition, we derive the asymptotic distribution and calculate its asymptotic risk. We find that under certain conditions, the combined estimator has strictly less asymptotic risk than the fixed effects estimator. Our simulation result shows that the combined estimators can reduce finite sample mean squared error relative to the fixed effects estimator for all degrees of endogeneity and heterogeneity, as well as relative to the random effects estimator for moderate to large degrees of endogeneity and heterogeneity. Also, we apply the proposed estimator to revisit the relationship between public capital infrastructure and private economic performance to illustrate its performance in a real data setting.
Abstract: In this paper, we propose a combined estimator from combining the fixed effects and random effects estimators, with the weight depending on the Hausman (1978) statistic in the semi-parametric panel model. Using a local-to-exogenous asymptotic condition, we derive the asymptotic distribution and calculate its asymptotic risk. We find that under certain conditions, the combined estimator has strictly less asymptotic risk than the fixed effects estimator. Our simulation result shows that the combined estimators can reduce finite sample mean squared error relative to the fixed effects estimator for all degrees of endogeneity and heterogeneity, as well as relative to the random effects estimator for moderate to large degrees of endogeneity and heterogeneity. Also, we apply the proposed estimator to revisit the relationship between public capital infrastructure and private economic performance to illustrate its performance in a real data setting.
WORKING Paper
"A Combined Fixed and Random Estimator for Parametric Panel Model."
"A Combined Estimator for Structural Panel Model." with Aman Ullah
"A Combined Estimator for Structural Panel Model." with Aman Ullah
wORK in progress
"A Combined Estimator for Nonparametric Functional Coefficient Panel Data Model."
"A Combined Estimator for Panel Model Forecasting." with Tae-Hwy Lee and Aman Ullah
"A Combined Estimator for Heterogenous Panel with Factor Error Structure." with Tae-Hwy Lee
"A Combined Estimator for Panel Model Forecasting." with Tae-Hwy Lee and Aman Ullah
"A Combined Estimator for Heterogenous Panel with Factor Error Structure." with Tae-Hwy Lee