Factor dimension determination for panel interactive effects models: an orthogonal projection approach

Document Type

Article

Publication Date

6-1-2021

Abstract

We consider a computationally simple orthogonal projection method to implement the (Bai and Ng in Econometrica 70:191–221, 2002) information criterion to select the factor dimension for panel interactive effects models that bypasses issues arising from the joint estimation of the slope coefficients and factor structure. Our simulations show that it performs well in cases the method can be implemented.

Publication Source (Journal or Book title)

Computational Statistics

First Page

1481

Last Page

1497

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