The estimation in a stationary heterogeneous panel model where unknown common factors are present is considered. A two-stage estimator is proposed and compared to existing alternative methods for the estimation of slope parameters in panels with a multifactor error structure. The asymptotic properties of this estimator are provided alongside the com- parison of its finite-sample properties with those of a range of estimators by means of Monte Carlo experiments. The two-stage estimator affords a greater computational simplicity with respect to existing iterative estimators that fail to achieve convergence in a relevant number of cases considered. The proposed estimator is employed in the analysis of the determinants of Euro-denominated bonds in a framework of a heterogeneous panel data model with multifactor error structure.
A two-stage estimator for heterogeneous panel models with common factors
Carolina Castagnetti
;Eduardo Rossi;Lorenzo Trapani
2018-01-01
Abstract
The estimation in a stationary heterogeneous panel model where unknown common factors are present is considered. A two-stage estimator is proposed and compared to existing alternative methods for the estimation of slope parameters in panels with a multifactor error structure. The asymptotic properties of this estimator are provided alongside the com- parison of its finite-sample properties with those of a range of estimators by means of Monte Carlo experiments. The two-stage estimator affords a greater computational simplicity with respect to existing iterative estimators that fail to achieve convergence in a relevant number of cases considered. The proposed estimator is employed in the analysis of the determinants of Euro-denominated bonds in a framework of a heterogeneous panel data model with multifactor error structure.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
