304 citations · 914 across the 26 of their papers we have counts for
6 papers · 1 filter
Quantile Methods in Large Panels with Fixed Effects
Manuel Arellano, Ayden Higgins, Martin Weidner
We study quantile regression (QR) and instrumental variable quantile regression (QIV) in static panel data models with additive individual fixed effects. We derive the asymptotic d…
Orthogonal Moments in Likelihood Models
Stéphane Bonhomme, Koen Jochmans, Martin Weidner
Many models, such as fixed-effect models for panel or network data, are hard to estimate because they feature nuisance parameters that are both numerous and estimated imprecisely.…
Analysis of interactive fixed effects dynamic linear panel regression with measurement error
Nayoung Lee, Hyungsik Roger Moon, Martin Weidner
This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable of interest is measured with error. To estimate the dynamic c…
Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
Hyungsik Roger Moon, Martin Weidner
In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the…
Dynamic Linear Panel Regression Models with Interactive Fixed Effects
Hyungsik Roger Moon, Martin Weidner
We analyze linear panel regression models with interactive fixed effects and predetermined regressors, for example lagged-dependent variables. The first-order asymptotic theory of…
Estimation of random coefficients logit demand models with interactive fixed effects
Hyungsik Roger Moon, Matthew Shum, Martin Weidner
We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discrete-choice demand model, which underlies much recent empirical work in IO. We add interactive fixed ef…