A Neyman-orthogonal moment estimator with adjusted nonparametric fixed effects achieves root-NT asymptotic normality for common parameters in two-way heterogeneous panel models.
Nuclear Norm Regularized Estimation of Panel Regression Models
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Derives asymptotic theory for interactive fixed effects in unbalanced panels with conditionally random attrition, proposes alternating projections algorithm for inference, and confirms significant democratization effects on growth.
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Inference on Linear Regressions with Two-Way Unobserved Heterogeneity
A Neyman-orthogonal moment estimator with adjusted nonparametric fixed effects achieves root-NT asymptotic normality for common parameters in two-way heterogeneous panel models.