论文标题
具有交互式固定效果的异质面板数据的二进制响应模型
Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects
论文作者
论文摘要
在本文中，我们通过允许横截面维度和时间尺寸差异来研究具有交互式固定效应的异质图图数据的二进制响应模型。从实际的角度来看，可以应用所提出的框架来预测公司失败的可能性，进行信用评级分析等。从理论和方法上讲，我们在最大似然估计和最小二乘方法之间建立了联系，提供了一个简单的信息标准，以检测因素的数量，并实现渐近分布。此外，我们进行密集的模拟以检查理论发现。在实证研究中，我们专注于股票回报的符号预测，然后使用符号预测的结果进行投资组合分析。
In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dimension to diverge. From a practical point of view, the proposed framework can be applied to predict the probability of corporate failure, conduct credit rating analysis, etc. Theoretically and methodologically, we establish a link between a maximum likelihood estimation and a least squares approach, provide a simple information criterion to detect the number of factors, and achieve the asymptotic distributions accordingly. In addition, we conduct intensive simulations to examine the theoretical findings. In the empirical study, we focus on the sign prediction of stock returns, and then use the results of sign forecast to conduct portfolio analysis.
