Econometrics Seminar series | Multidimensional Interactive Fixed-Effects by Hugo Freeman – School of Economics Econometrics Seminar series | Multidimensional Interactive Fixed-Effects by Hugo Freeman – School of Economics

Econometrics Seminar series | Multidimensional Interactive Fixed-Effects by Hugo Freeman

Invites you to an Econometrics seminar presented by

Hugo Freeman

(University College London)

Multidimensional Interactive Fixed-Effects

Tuesday 4 April 2023

2.00pm – 3.30pm

Via Zoom: 875 5464 3771

Abstract: This paper studies multidimensional panel data of three or more dimensions with unobserved interactive fixed effects. Two approaches are considered to account for these unobserved interactive fixed-effects when estimating coefficients on the observed covariates in a linear model. First, the model is embedded within the standard two-dimensional panel framework and restrictions are derived under which the factor structure methods in Bai (2009) lead to consistent estimation of model parameters, but at potentially slow rates of convergence. The second approach utilises popular machine learning techniques to develop group fixed-effects and kernel weighted fixed-effects that are more robust to the multidimensional nature of the problem and can achieve the parametric rate of consistency under certain conditions. Theoretical results and simulations show the benefit of standard two-dimensional panel methods when the structure of the interactive fixed-effect term is known, but also highlight how the group fixed-effects and kernel methods perform well without knowledge of this structure. The methods are implemented to estimate the demand elasticity for beer under a handful of models for demand.

For further information contact: Econometrics seminar series coordinator Dr Ye Lu (ye.lu1@sydney.edu.au)

For all upcoming seminars in School of Economics see Our events and Calendar

Date

Apr 04 2023
Expired!

Time

2:00 pm - 3:30 pm

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