Interactive Fixed Effects

[jorpppp]

We want to include IFE estimators in the command. A relevant reference here is Gobillon and Magnac 2016

Ideally we want to piggyback on the regife command.

[jorpppp]

@Constantino-Carreto-Romero will read the reference and will look into the regife command. He'll also post relevant references for IFE here.

@SimonFreyaldenhoven any recommendation for what we should read here?

[SimonFreyaldenhoven]

@jorpppp Starting with the documentation of the regife command seems like a god starting point. I took a quick look and it has a few additional references therein (both theoretical, e.g. the original Bai (2009) paper, but also some applications which may be easier to read).

Another thing that might be worth taking a look at at the same time is the Common correlated effects model. Here's a Stata article+package. The two estimators (CCE, IFE) are conceptually very related. So if we are planning to introduce IFE, it maybe very easy to tack on CCE using the same infrastructure.

[Constantino-Carreto-Romero]

@jorpppp I have read Gobillon and Magnac, 2016. I haven't explored the regife command yet. In the github repository of the regife command, there is the following list of papers using IFE:

• Eberhardt, Helmers, Strauss (2013) Do spillovers matter when estimating private returns to R&D?
• Hagedorn, Karahan, Movskii (2015) Unemployment Benefits and Unemployment in the Great Recession: The Role of Macro Effects
• Hagedorn, Karahan, Movskii (2015) The impact of unemployment benefit extensions on employment: the 2014 employment miracle?
• Totty (2015) The Effect of Minimum Wages on Employment: A Factor Model Approach

[jorpppp]

Thanks for the references @Constantino-Carreto-Romero . I think after Gobillon and Magnac, the best paper to look into would be the original Bai (2009).

[jorpppp]

We are still reading.

[jorpppp]

We are still reading, here's a checklist to track progress and force ourselves to finish.

@jorpppp

• [x] Gobillon and Magnac
• [x] Bai and Perron
• [ ] Common Correlated Effects

@Constantino-Carreto-Romero

• [x] Gobillon and Magnac
• [ ] Bai and Perron
• [ ] Common Correlated Effects

[jorpppp]

We need to keep reading @Constantino-Carreto-Romero !!!