Title: Trending heterogeneous and time-varying coefficient panel data models with endogeneity and fixed effects
Authors: Li Chen - Xiamen University (China) [presenting]
Abstract: The aim is to study a trending heterogeneous and time-varying coefficient panel data model with endogeneity and fixed effects. The regression coefficients change over both time and sections. We propose a projection method to solve the problem of endogeneity. Meanwhile, we employ an easy-to-implement series expansion method to estimate the coefficients. We show that the estimators are consistent as the cross-sectional size $N$ and time series length $T$ tend to infinity. We also investigate the relationship between GDP and healthcare expenditure in OECD countries as an empirical example.