CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects
Interactive fixed effects are a popular means to model unobserved heterogeneity in panel data. Models with interactive fixed effects are well studied in the low-dimensional case where the number of parameters to be estimated is small. However, they are largely unexplored in the high-dimensional case where the number of parameters is large, potentially much larger than the sample size itself. In this paper, we develop new econometric methods for the estimation of high-dimensional panel data models with interactive fixed effects.