关键词: 面板数据模型, 交互效应, 非线性转换

Abstract: Linear panel data model with interactive fixed effects is widely applied in macroeconomic、microeconomic and finance etc. Considering the dynamic adjustment of economic variables may be transformed under different economic environment. In this paper, we develop the linear model with nonlinear smooth transition regimes. To the static model, we propose the nonlinear OLS estimators and construct the nonlinear GMM estimators for the dynamic model. The two kinds of estimators have consistency. The simulations show that the finite sample properties outperform well.

Key words: Panel Data Model, Interactive Fixed Effects, Nonlinear Smooth Transition