Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice

Feng, Guo-Hua; Peng, Bin; Su, Liangjun; Yang, Thomas Tao

doi:10.1016/j.jeconom.2019.05.018

Cited by 8 publications

(6 citation statements)

References 58 publications

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“…Panel data models with fixed effects have drawn considerable attention in recent years (Feng et al, 2019). In macroeconomics, interactive fixed effects can account for the heterogeneous influences of unobservable common factors that affect all units, such as countries (Boneva & Linton, 2017;Floro & van Roye, 2017).…”

Section: Methodological Approachmentioning

confidence: 99%

“…In macroeconomics, interactive fixed effects can account for the heterogeneous influences of unobservable common factors that affect all units, such as countries (Boneva & Linton, 2017;Floro & van Roye, 2017). A model with interactive fixed effects can be used in several sub-fields of economics, including the production economics, construction and international trade (Feng et al, 2019). In microeconomics, panel data models with interactive fixed effects can also be applied in e.g.…”

Section: Methodological Approachmentioning

confidence: 99%

“…Fixed effects panel data modelling has been a hot topic in econometrics since it was first proposed (Baltagi, 2013;Hu et al, 2014). For this reason, panel data models with interactive fixed effects have received considerable attention in the last decade and have been widely used in practice (Feng et al, 2019).…”

Section: Methodological Approachmentioning

confidence: 99%

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Backward assessments or expectations: what determines the consumer confidence index more strongly? Panel model based on the CCI of European countries

Grzywińska‐Rąpca¹,

Ptak-Chmielewska²

2023

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The consumer confidence index (CCI) is an index constructed on the basis of subjective assessments of the economic situation (retroactive and future), in many studies used as a variable supplementing the forecasting of consumer behaviour. Its significance is evidenced by the literature on consumer sentiment. Research on developed, economically stable countries focuses on assessments of the economic situation in the preceding period. On the other hand, according to many authors, the analysis of economically unstable states should focus on the expectations of respondents. The aim of the study is to check which respondent assessments (retroactive or expectations for the future) have a statistically significant impact on the level of the CCI and to examine the differences in respondent assessments between countries (cross-sectionally), as well as the time differences (time series effects). The panel modelling was carried out using data for the CCI as a dependent variable and a set of independent variables for all European Union countries and five non-member states. The data were collected from the Eurostat database. The analysis period of seven years and five months (January 2015–May 2022) results from the availability of data. The SAS 9.4 software was used in this research. The results of the survey showed that higher expectations of respondents result in a higher CCI, and that they have a statistically significant impact on the level of the index. The modelling also demonstrated that the differences in respondent’ assessments between countries are significant, whereas the time differences are not.

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Section: Methodological Approachmentioning

confidence: 99%

Section: Methodological Approachmentioning

confidence: 99%

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Backward assessments or expectations: what determines the consumer confidence index more strongly? Panel model based on the CCI of European countries

Grzywińska‐Rąpca¹,

Ptak-Chmielewska²

2023

View full text Add to dashboard Cite

show abstract

Section: Methodological Approachmentioning

confidence: 99%

Section: Methodological Approachmentioning

confidence: 99%

Untitled

2023

View full text Add to dashboard Cite

The consumer confidence index (CCI) is an index constructed on the basis of subjective assessments of the economic situation (retroactive and future), in many studies used as a variable supplementing the forecasting of consumer behaviour. Its significance is evidenced by the literature on consumer sentiment. Research on developed, economically stable countries focuses on assessments of the economic situation in the preceding period. On the other hand, according to many authors, the analysis of economically unstable states should focus on the expectations of respondents. The aim of the study is to check which respondent assessments (retroactive or expectations for the future) have a statistically significant impact on the level of the CCI and to examine the differences in respondent assessments between countries (cross-sectionally), as well as the time differences (time series effects). The panel modelling was carried out using data for the CCI as a dependent variable and a set of independent variables for all European Union countries and five non-member states. The data were collected from the Eurostat database. The analysis period of seven years and five months (January 2015-May 2022) results from the availability of data. The SAS 9.4 software was used in this research.The results of the survey showed that higher expectations of respondents result in a higher CCI, and that they have a statistically significant impact on the level of the index. The modelling also demonstrated that the differences in respondent' assessments between countries are significant, whereas the time differences are not.

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Binary response models for heterogeneous panel data with interactive fixed effects

Gao¹,

Liu²,

Peng

2023

Journal of Econometrics

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Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice

Cited by 8 publications

References 58 publications

Backward assessments or expectations: what determines the consumer confidence index more strongly? Panel model based on the CCI of European countries

Backward assessments or expectations: what determines the consumer confidence index more strongly? Panel model based on the CCI of European countries

Untitled

Binary response models for heterogeneous panel data with interactive fixed effects

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