Semiparametric Single-Index Panel Data Models with Interactive Fixed Effects: Theory and Practice

Feng, G; Peng, B; Su, L; Yang, TT

Semiparametric Single-Index Panel Data Models with Interactive Fixed Effects: Theory and Practice

Feng, G Peng, B

Su, L Yang, TT

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Publisher:: SSRN
Publication Type:: Journal Article
Citation:: Research Collection School Of Economics, 2016, pp. 1 - 72
Issue Date:: 2016-11-06

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Field	Value	Language
dc.contributor.author	Feng, G	en_US
dc.contributor.author	Peng, B https://orcid.org/0000-0003-4231-4713	en_US
dc.contributor.author	Su, L	en_US
dc.contributor.author	Yang, TT	en_US
dc.date.issued	2016-11-06	en_US
dc.identifier.citation	Research Collection School Of Economics, 2016, pp. 1 - 72	en_US
dc.identifier.uri	http://hdl.handle.net/10453/116712
dc.description.abstract	In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the investigation of many economic issues. We derive asymptotic theories for both the case where the link function is integrable and the case where the link function is non-integrable. Our Monte Carlo simulations show that our methodology works well for large N and T cases. In our empirical application, we illustrate our model by analyzing the returns to scale of large commercial banks in the U.S. Our empirical results suggest that the vast majority of U.S. large banks exhibit increasing returns to scale.	en_US
dc.publisher	SSRN	en_US
dc.relation.ispartof	Research Collection School Of Economics	en_US
dc.relation.isbasedon	10.2139/ssrn.2865294	en_US
dc.title	Semiparametric Single-Index Panel Data Models with Interactive Fixed Effects: Theory and Practice	en_US
dc.type	Journal Article
utslib.for	140304 Panel Data Analysis	en_US
utslib.for	140302 Econometric and Statistical Methods	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
utslib.copyright.status	open_access
pubs.consider-herdc	false	en_US
pubs.publication-status	Published	en_US

Abstract:

In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the investigation of many economic issues. We derive asymptotic theories for both the case where the link function is integrable and the case where the link function is non-integrable. Our Monte Carlo simulations show that our methodology works well for large N and T cases. In our empirical application, we illustrate our model by analyzing the returns to scale of large commercial banks in the U.S. Our empirical results suggest that the vast majority of U.S. large banks exhibit increasing returns to scale.

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http://hdl.handle.net/10453/116712