Panels with non-stationary multifactor error structures
From MaRDI portal
Publication:737289
DOI10.1016/J.JECONOM.2010.10.001zbMath1441.62767OpenAlexW2110842229MaRDI QIDQ737289
M. Hashem Pesaran, Takashi Yamagata, George Kapetanios
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.10.001
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (45)
Estimation of partially linear panel data models with cross-sectional dependence ⋮ Testing for Panel Cointegration Using Common Correlated Effects Estimators ⋮ Asymptotics for Panel Models with Common Shocks ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks ⋮ Testing for Common Trends in Nonstationary Large Datasets ⋮ Efficient estimation of heterogeneous coefficients in panel data models with common shocks ⋮ The long-run determinants of fertility: one century of demographic change 1900--1999 ⋮ Instrumental variables estimation in large heterogeneous panels with multifactor structure ⋮ On the asymptotic \(t\)-test for large nonstationary panel models ⋮ Cross-section bootstrap for CCE regressions ⋮ Estimation of heterogeneous panels with structural breaks ⋮ On the estimation and inference in factor-augmented panel regressions with correlated loadings ⋮ SIZE, OPENNESS, AND MACROECONOMIC INTERDEPENDENCE ⋮ DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS ⋮ On the robustness of the pooled CCE estimator ⋮ Inferential theory for heterogeneity and cointegration in large panels ⋮ Recursive estimation in large panel data models: theory and practice ⋮ The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study ⋮ Estimation of fractionally integrated panels with fixed effects and cross-section dependence ⋮ Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model ⋮ On the role of the rank condition in CCE estimation of factor-augmented panel regressions ⋮ Weak and strong cross‐section dependence and estimation of large panels ⋮ A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model ⋮ Large panels with common factors and spatial correlation ⋮ Real exchange rates and the balance of trade: does the J-curve effect really hold? ⋮ An alternative semiparametric model for spatial panel data ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Identifying latent grouped patterns in panel data models with interactive fixed effects ⋮ A method to evaluate the rank condition for CCE estimators ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ A spatio-temporal model of house prices in the USA ⋮ Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure ⋮ Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels ⋮ Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure ⋮ The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic ⋮ An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects ⋮ System Estimation of Panel Data Models Under Long-Range Dependence ⋮ A bias-corrected Srivastava-type test for cross-sectional independence ⋮ Real exchange rate misalignments in the euro area ⋮ INTEGRATION OF NORTH AND SOUTH AMERICAN PLAYERS IN JAPAN'S PROFESSIONAL BASEBALL LEAGUES ⋮ Sieve bootstrapt-tests on long-run average parameters ⋮ Semi-parametric single-index panel data models with interactive fixed effects: theory and practice ⋮ Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence ⋮ Common factors and spatial dependence: an application to US house prices
Cites Work
- Unnamed Item
- Panel cointegration with global stochastic trends
- Estimating long-run relationships from dynamic heterogeneous panels
- Weak and strong cross‐section dependence and estimation of large panels
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Linear Regression Limit Theory for Nonstationary Panel Data
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Rao's score test in spatial econometrics
This page was built for publication: Panels with non-stationary multifactor error structures
