Panels with non-stationary multifactor error structures

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

zbMATH Keywords

unit rootsprincipal componentslarge panelscross-section dependencecommon correlated effects

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• 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
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