Econometric Theory· 2026Q1
ESTIMATION OF HETEROGENEOUS PANEL DATA MODELS WITH AN APPLICATION TO PROGRAM EVALUATION
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- Q1SCImago
- 2026year
Short summary
A new two-step estimation method for panel data models with unobserved slope heterogeneity and interactive fixed effects significantly outperforms existing methods like synthetic controls in simulations.
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Key points
- Proposes a two-step estimation method for panel data with unobserved slope heterogeneity and interactive fixed effects.
- Simulations show the new method outperforms synthetic control methods in finite samples.
- Applied to estimate heterogeneous treatment effects for program evaluation.
- Finds a positive and significant aggregate average treatment effect of economic liberalization on economic growth.
AI-generated from the title and abstract; the full text is not read.
Abstract
This article studies panel data models with two-dimensional unobserved slope heterogeneity and interactive fixed effects. We propose a two-step approach to estimate the parameters in the model. We apply the proposed model to estimate heterogeneous treatment effects at both individual and aggregate levels. Monte Carlo simulations show that the proposed estimators perform remarkably well in finite samples in comparison with some existing methods such as the synthetic control ones. We apply our method to study the effect of economic liberalization on economic growth and find a positive and significant aggregate average treatment effect on the treated.
The authors' abstract, as published at the source. Econometric Theory, 2026 · DOI ↗
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Field: Economics and Econometrics
Economics and EconometricsEconomics, Econometrics and Finance