期刊名称：Discussion Papers in Economics / Department of Economics, University of Surrey
出版年度：2012
卷号：2012
出版社：University of Surrey
摘要：This paper considers the panel da ta model with a multifactor structure in both the errors and the
regressors which was studied by Pesaran (“Estimation and Inference in Large Heterogeneous Panels
with a Multifactor Error Structure, Econometrica , 2006). Estimators are proposed that are consistent
for fixed T as N tends to infinity. By allowing T to be fixed some of the assumptions imposed by
Pesaran are relaxed and, at the same time , some of the complexities of the large N and T asymptot-
ics are bypassed. A small Monte Carlo simulation shows that these new estimators are very accurate
for very small values of T .
