Economics Research Community Seminar – Dr Chris Walsh

Title: CCE for High-Dimensional Panel Data Models with Interactive Fixed Effects

Date:  1 November 2023

Time: 13:00-14:00

Location: NUBS.4.25

If you would like to attend, please register using the following link:

CCE for High-Dimensional Panel Data Models with Interactive Fixed Effects

Speaker: Dr Chris Walsh

Chris is an econometrician.  He joined Newcastle University in September 2023 as a Lecturer in Economics.  Before joining Newcastle, he held postdoctoral positions at Ulm University, University of Bonn, TU Dortmund and University of Vienna.

He holds a PhD in Economics from University of Mannheim, a MA in Economics from LMU Munich and a BSc in Econometrics and Mathematical Economics from LSE.

Abstract:

Interactive fixed effects are a popular means to model unobserved heterogeneity in panel data. Models with interactive fixed effects are well studied in the low-dimensional case where the number of parameters to be estimated is small. However, they are largely unexplored in the high-dimensional case where the number of parameters is large, potentially much larger than the sample size itself. In this paper, we develop new econometric methods for the estimation of high-dimensional panel data models with interactive fixed effects. Our estimator is based on similar ideas as the very popular common correlated effects (CCE) estimator which is frequently used in the low-dimensional case. We thus call our estimator a high-dimensional CCE estimator. We derive theory for the estimator both in the large-T-case, where the time series length T tends to infinity, and in the small-T-case, where T is a fixed natural number. The theoretical analysis of the paper is complemented by a simulation study which evaluates the finite sample performance of the estimator.