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September 23, 2025Econometric ReviewsOpen Access

A projection-based approach for interactive fixed effects panel data models

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The approach enhances estimation of regression parameters in panel data models, making it simpler and more efficient.
Key improvement includes avoiding iterative procedures, delivering a straightforward and effective estimator for fixed effects.
The method's performance is validated through Monte Carlo simulations, showing improved error and coverage results in estimates.
Application of the method reveals significant economic insights regarding investment and government spending in OECD countries.

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This approach improves inference in panel data models using interactive fixed effects and bootstrap methods.

Keilbar et al. (2025) studied this question.

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