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Higher-Order Expansions and Inference for Panel Data Models

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  • Jiti Gao
  • Bin Peng
  • Yayi Yan

Abstract

In this article, we propose a simple inferential method for a wide class of panel data models with a focus on such cases that have both serial correlation and cross-sectional dependence. In order to establish an asymptotic theory to support the inferential method, we develop some new and useful higher-order expansions, such as Berry-Esseen bound and Edgeworth Expansion, under a set of simple and general conditions. We further demonstrate the usefulness of these theoretical results by explicitly investigating a panel data model with interactive effects which nests many traditional panel data models as special cases. Finally, we show the superiority of our approach over several natural competitors using extensive numerical studies. Supplementary materials for this article are available online.

Suggested Citation

  • Jiti Gao & Bin Peng & Yayi Yan, 2024. "Higher-Order Expansions and Inference for Panel Data Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(548), pages 2760-2771, October.
    • Handle: RePEc:taf:jnlasa:v:119:y:2024:i:548:p:2760-2771
    DOI: 10.1080/01621459.2023.2277411
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