Multidimensional Interactive Fixed-Effects. (arXiv:2209.11691v1 [econ.EM])

This paper studies a linear and additively separable model for
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. 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. The second approach considers group fixed-effects and kernel …

arxiv effects fixed-effects interactive multidimensional