Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
This paper presents a new approach to estimation and inference in panel data models with a general multifactor error structure. The unobserved factors and the individual-specific errors are allowed to follow arbitrary stationary processes, and the number of unobserved factors need not be estimated. The basic idea is to filter …