{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,8]],"date-time":"2026-10-08T18:42:13Z","timestamp":1791484933624,"version":"4.3.4"},"reference-count":28,"publisher":"Oxford University Press (OUP)","issue":"2","license":[{"start":{"date-parts":[[2021,10,19]],"date-time":"2021-10-19T00:00:00Z","timestamp":1634601600000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/academic.oup.com\/journals\/pages\/open_access\/funder_policies\/chorus\/standard_publication_model"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2022,5,18]]},"abstract":"<jats:title>Summary<\/jats:title>\n                  <jats:p>This paper analyses the instrumental variables (IV) approach put forward by Norkute et\u00a0al. (2021), in the context of static linear panel data models with interactive effects present in the error term and the regressors. Instruments are obtained from transformed regressors, thereby it is not necessary to search for external instruments. We consider a two-stage IV (2SIV) and a mean-group IV (MGIV) estimator for homogeneous and heterogeneous slope models, respectively. The asymptotic analysis reveals that: (i) the $\\sqrt{\\textit {NT}}$-consistent 2SIV estimator is free from asymptotic bias that may arise due to the estimation error of the interactive effects, while (ii) existing estimators can suffer from asymptotic bias; (iii) the proposed 2SIV estimator is asymptotically as efficient as existing estimators that eliminate interactive effects jointly in the regressors and the error, while (iv) the relative efficiency of the estimators that eliminate interactive effects only in the error term is indeterminate. A Monte Carlo study confirms good approximation quality of our asymptotic results.<\/jats:p>","DOI":"10.1093\/ectj\/utab029","type":"journal-article","created":{"date-parts":[[2021,10,20]],"date-time":"2021-10-20T14:02:53Z","timestamp":1634738573000},"page":"340-361","source":"Crossref","is-referenced-by-count":45,"title":["Two-stage instrumental variable estimation of linear panel data models with interactive effects"],"prefix":"10.1093","volume":"25","author":[{"given":"Guowei","family":"Cui","sequence":"first","affiliation":[{"name":"School of Economics, Huazhong University of Science and Technology, Wuhan 430074, China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Milda","family":"Norkut\u0117","sequence":"additional","affiliation":[{"name":"Bank of Lithuania and Vilnius University, Totoriu g. 4, LT-01121, Vilnius, Lithuania Email: MNorkute@lb.lt"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Vasilis","family":"Sarafidis","sequence":"additional","affiliation":[{"name":"Department of Economics, BI Norwegian Business School, 0484 Oslo, Norway Email: vasilis.sarafidis@bi.no"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Takashi","family":"Yamagata","sequence":"additional","affiliation":[{"name":"DERS, University of York, UK and ISER, Osaka University, Japan Email: takashi.yamagata@york.ac.uk"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"286","published-online":{"date-parts":[[2021,10,19]]},"reference":[{"key":"2022052008322185800_bib1","doi-asserted-by":"crossref","first-page":"1203","DOI":"10.3982\/ECTA8968","article-title":"Eigenvalue ratio test for the number of factors","volume":"81","author":"Ahn","year":"2013","journal-title":"Econometrica"},{"key":"2022052008322185800_bib2","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1111\/1468-0262.00392","article-title":"Inferential theory for factor models of large dimensions","volume":"71","author":"Bai","year":"2003","journal-title":"Econometrica"},{"key":"2022052008322185800_bib3","doi-asserted-by":"crossref","first-page":"1229","DOI":"10.3982\/ECTA6135","article-title":"Panel data models with interactive fixed effects","volume":"77","author":"Bai","year":"2009","journal-title":"Econometrica"},{"key":"2022052008322185800_bib4","article-title":"Supplement to panel data models with interactive fixed effects: technical details and proofs","author":"Bai","year":"2009","journal-title":"Econometrica Supplemental Material"},{"key":"2022052008322185800_bib5","doi-asserted-by":"crossref","first-page":"142","DOI":"10.1214\/13-AOS1183","article-title":"Theory and methods of panel data models with interactive effects","volume":"42","author":"Bai","year":"2014","journal-title":"Annals of Statistics"},{"key":"2022052008322185800_bib6","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1111\/1468-0262.00273","article-title":"Determining the number of factors in approximate factor models","volume":"70","author":"Bai","year":"2002","journal-title":"Econometrica"},{"key":"2022052008322185800_bib7","doi-asserted-by":"crossref","first-page":"409","DOI":"10.1016\/j.jeconom.2005.02.006","article-title":"The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models","volume":"132","author":"Bun","year":"2006","journal-title":"Journal of Econometrics"},{"key":"2022052008322185800_bib8","doi-asserted-by":"crossref","first-page":"238","DOI":"10.1198\/jbes.2010.07136","article-title":"Robust inference with multiway clustering","volume":"29","author":"Cameron","year":"2011","journal-title":"Journal of Business and Economic Statistics"},{"key":"2022052008322185800_bib9","doi-asserted-by":"crossref","first-page":"313","DOI":"10.1111\/jmcb.12574","article-title":"Temperature and growth: A panel analysis of the United States","volume":"51","author":"Colacito","year":"2019","journal-title":"Journal of Money, Credit and Banking"},{"key":"2022052008322185800_bib10","article-title":"A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects","author":"Cui","year":"2019"},{"key":"2022052008322185800_bib11","first-page":"66","article-title":"Temperature shocks and economic growth: Evidence from the last half century","volume":"4","author":"Dell","year":"2012","journal-title":"American Economic Journal: Macroeconomics"},{"key":"2022052008322185800_bib12","doi-asserted-by":"crossref","first-page":"740","DOI":"10.1257\/jel.52.3.740","article-title":"What do we learn from the weather? The new climate economy literature","volume":"52","author":"Dell","year":"2014","journal-title":"Journal of Economic Literature"},{"key":"2022052008322185800_bib13","doi-asserted-by":"crossref","first-page":"597","DOI":"10.1016\/j.jeconom.2006.10.009","article-title":"Asymptotic properties of a robust variance matrix estimator for panel data when t is large","volume":"141","author":"Hansen","year":"2007","journal-title":"Journal of Econometrics"},{"key":"2022052008322185800_bib14","first-page":"439","article-title":"Recursive estimation in large panel data models: Theory and practice","volume-title":"Journal of Econometrics","author":"Jiang","year":"2021"},{"key":"2022052008322185800_bib16","doi-asserted-by":"crossref","first-page":"893","DOI":"10.1080\/00927872.2016.1178875","article-title":"Fixed t dynamic panel data estimators with multi-factor errors","volume":"37","author":"Juodis","year":"2018","journal-title":"Econometric Reviews"},{"key":"2022052008322185800_bib17","article-title":"A linear estimator for factor-augmented fixed-T panels with endogenous regressors","author":"Juodis","year":"2020","journal-title":"Journal of Business & Economic Statistics"},{"key":"2022052008322185800_bib15","doi-asserted-by":"crossref","first-page":"325","DOI":"10.1016\/j.jeconom.2020.06.002","article-title":"On the robustness of the pooled CCE estimator","volume":"220","author":"Juodis","year":"2021","journal-title":"Journal of Econometrics"},{"key":"2022052008322185800_bib18","article-title":"An incidental parameters free inference approach for panels with common shocks","author":"Juodis","year":"2021","journal-title":"Journal of Econometrics"},{"key":"2022052008322185800_bib19","doi-asserted-by":"crossref","first-page":"397","DOI":"10.1198\/jbes.2009.07239","article-title":"A testing procedure for determining the number of factors in approximate factor models with large datasets","volume":"28","author":"Kapetanios","year":"2010","journal-title":"Journal of Business & Economic Statistics"},{"key":"2022052008322185800_bib20","doi-asserted-by":"crossref","first-page":"239","DOI":"10.1017\/CBO9780511493157.013","article-title":"Alternative approaches to estimation and inference in large multifactor panels: Small sample results with an application to modelling of asset returns","volume-title":"The Refinement of Econometric Estimation and Test\u00a0Procedures","author":"Kapetanios","year":"2007"},{"key":"2022052008322185800_bib21","doi-asserted-by":"crossref","first-page":"659","DOI":"10.1177\/1536867X211045558","article-title":"Instrumental-variable estimation of large-T panel-data models with common factors","volume":"21","author":"Kripfganz","year":"2021","journal-title":"Stata Journal"},{"key":"2022052008322185800_bib22","doi-asserted-by":"crossref","first-page":"1543","DOI":"10.3982\/ECTA9382","article-title":"Linear regression for panel with unknown number of factors as interactive effects","volume":"83","author":"Moon","year":"2015","journal-title":"Econometrica"},{"key":"2022052008322185800_bib24","doi-asserted-by":"crossref","first-page":"158","DOI":"10.1017\/S0266466615000328","article-title":"Dynamic linear panel regression models with interactive effects","volume":"33","author":"Moon","year":"2017","journal-title":"Econometric Theory"},{"key":"2022052008322185800_bib25","first-page":"1","article-title":"Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure","volume":"33","author":"Norkute","year":"2021","journal-title":"Journal of Econometrics"},{"key":"2022052008322185800_bib26","doi-asserted-by":"crossref","first-page":"967","DOI":"10.1111\/j.1468-0262.2006.00692.x","article-title":"Estimation and inference in large heterogeneous panels with a multifactor error structure","volume":"74","author":"Pesaran","year":"2006","journal-title":"Econometrica"},{"key":"2022052008322185800_bib27","doi-asserted-by":"crossref","first-page":"401","DOI":"10.1080\/07474938.2015.1106758","article-title":"Estimation of factor-augmented panel regressions with weakly influential factors","volume":"37","author":"Reese","year":"2018","journal-title":"Econometric Reviews"},{"key":"2022052008322185800_bib28","doi-asserted-by":"crossref","first-page":"215","DOI":"10.1016\/j.jeconom.2020.06.001","article-title":"Celebrating 40\u00a0years of panel data analysis: Past, present and future","volume":"220","author":"Sarafidis","year":"2020","journal-title":"Journal of Econometrics"},{"key":"2022052008322185800_bib29","doi-asserted-by":"crossref","first-page":"372","DOI":"10.1016\/j.jeconom.2014.09.014","article-title":"Cross-sectional averages versus principal components","volume":"185","author":"Westerlund","year":"2015","journal-title":"Journal of Econometrics"}],"container-title":["The Econometrics Journal"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/academic.oup.com\/ectj\/advance-article-pdf\/doi\/10.1093\/ectj\/utab029\/41357068\/utab029.pdf","content-type":"application\/pdf","content-version":"am","intended-application":"syndication"},{"URL":"https:\/\/academic.oup.com\/ectj\/article-pdf\/25\/2\/340\/43772868\/utab029.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"syndication"},{"URL":"https:\/\/academic.oup.com\/ectj\/article-pdf\/25\/2\/340\/43772868\/utab029.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,5,20]],"date-time":"2022-05-20T04:33:09Z","timestamp":1653021189000},"score":1,"resource":{"primary":{"URL":"https:\/\/academic.oup.com\/ectj\/article\/25\/2\/340\/6402892"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,10,19]]},"references-count":28,"journal-issue":{"issue":"2","published-online":{"date-parts":[[2021,10,19]]},"published-print":{"date-parts":[[2022,5,18]]}},"URL":"https:\/\/doi.org\/10.1093\/ectj\/utab029","relation":{},"ISSN":["1368-4221","1368-423X"],"issn-type":[{"value":"1368-4221","type":"print"},{"value":"1368-423X","type":"electronic"}],"subject":[],"published-other":{"date-parts":[[2022,5]]},"published":{"date-parts":[[2021,10,19]]}}}