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英文文献：Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects-在具有交互固定效果的面板中进行持久性异质性测试
英文文献作者：Yunus Emre Ergemen,Carlos Velasco
英文文献摘要：
We consider large N,T panel data models with fixed effects, a common factor allowing for cross-section dependence, and persistent data and shocks, which are assumed fractionally integrated. In a basic setup, the main interest is on the fractional parameter of the idiosyncratic component, which is estimated in first differences after factor removal by projection on the cross-section average. The pooled conditional-sum-of-squares estimate is root-NT consistent but the normal asymptotic distribution might not be centered, requiring the time series dimension to grow faster than the cross-section size for correction. We develop tests of homogeneity of dynamics, including the degree of integration, that have no trivial power under local departures from the null hypothesis of a non-negligible fraction of cross-section units. A simulation study shows that our estimates and test have good performance even in moderately small panels.
我们考虑具有固定效应的大N,T面板数据模型，这是一个公共因素，允许横截面依赖，以及持续的数据和冲击，这是假设的少量集成。在基本设置中，主要的兴趣在于特质分量的分数参数，它是通过在截面平均上的投影去除因子后在一阶差中估计出来的。混合的条件平方和估计是根- nt一致的，但正态渐近分布可能没有中心，需要时间序列维数增长快于截面大小的校正。我们发展了动力学同质性的检验，包括积分的程度，在局部偏离非可忽略的截面单位的部分的零假设下没有平凡的权力。一项模拟研究表明，我们的估计和测试具有良好的性能，即使在适度小的面板。
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