TY - JOUR
DP - National Agricultural Library
DB - PubAg
JO - Economics letters
TI - Regime switching panel data models with interactive fixed effects
A1 - Cheng, Tingting
A4 - Cheng, Tingting
A4 - Gao, Jiti
A4 - Yan, Yayi
EP - 2019 v.177
KW - algorithms
KW - economics
KW - models
KW - statistical analysis
AN - 6302980
AB - In this paper, we introduce a regime switching panel data model with interactive fixed effects. We propose a maximum likelihood estimation method and develop an expectation and conditional maximization algorithm to estimate the unknown parameters. Simulation results show that the algorithm works well in finite samples. The biases of the maximum likelihood estimates are negligible and the root mean squared errors of the maximum likelihood estimates decrease with the increase of either the number of the cross-sectional units N or the size of the time periods T.
PY - 2019
LA -
DA - 2019-04
VL - v. 177
SP - pp. 47-51
DO - 10.1016/j.econlet.2019.01.024
ER -