Freyberger, Joachim Non-parametric panel data models with interactive fixed effects. (English) Zbl 1409.62171 Rev. Econ. Stud. 85, No. 3, 1824-1851 (2018). Summary: This article studies non-parametric panel data models with multidimensional, unobserved individual effects when the number of time periods is fixed. I focus on models where the unobservables have a factor structure and enter an unknown structural function non-additively. The setup allows the individual effects to impact outcomes differently in different time periods and it allows for heterogeneous marginal effects. I provide sufficient conditions for point identification of all parameters of the model. Furthermore, I present a non-parametric sieve maximum likelihood estimator as well as flexible semiparametric and parametric estimators. Monte Carlo experiments demonstrate that the estimators perform well in finite samples. Finally, in an empirical application, I use these estimators to investigate the relationship between teaching practice and student achievement. The results differ considerably from those obtained with commonly used panel data methods. Cited in 11 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62G10 Nonparametric hypothesis testing 65C05 Monte Carlo methods Keywords:panel data; multidimensional individual effects; factor model; nonparametric identification; Monte Carlo experiments PDFBibTeX XMLCite \textit{J. Freyberger}, Rev. Econ. Stud. 85, No. 3, 1824--1851 (2018; Zbl 1409.62171) Full Text: DOI