Estimation of fractionally integrated panels with fixed effects and cross-section dependence

DOI10.1016/J.JECONOM.2016.05.020zbMath1403.62161OpenAlexW2278398173MaRDI QIDQ503560

Carlos Velasco, Yunus Emre Ergemen

Publication date: 13 January 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/25234

zbMATH Keywords

long memoryfactor modelsfractional cointegrationrealized volatility

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Parametric estimation of long memory in factor models ⋮ Homogeneity tests for one-way models with dependent errors under correlated groups ⋮ Inference on trending panel data ⋮ Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach ⋮ The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic ⋮ Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction ⋮ Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects ⋮ Efficient inference on fractionally integrated panel data models with fixed effects ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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