Estimating cross-section common stochastic trends in nonstationary panel data
From MaRDI portal
Publication:2439092
DOI10.1016/j.jeconom.2003.10.022zbMath1282.91264OpenAlexW1989672512MaRDI QIDQ2439092
Publication date: 7 March 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.10.022
dynamic factorsprincipal componentsgeneralized dynamic factor modelscommon-stochastic trendsnonstationary panel data
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items
Non-parametric regression with a latent time series, Parameter cascading for panel models with unknown number of unobserved factors: an application to the credit spread puzzle, Panel cointegration with global stochastic trends, Micro versus macro cointegration in heterogeneous panels, Parameters measuring bank risk and their estimation, First-differenced inference for panel factor series, Asymptotics for Panel Models with Common Shocks, Factor Model Forecasts of Exchange Rates, Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors, BTtest, Multi-population mortality modeling: when the data is too much and not enough, On the asymptotic \(t\)-test for large nonstationary panel models, Sequential testing for structural stability in approximate factor models, A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK, A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris, Identification of Time-Varying Factor Models, Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors, Inference in Heavy-Tailed Nonstationary Multivariate Time Series, IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS, Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data, Confidence intervals of treatment effects in panel data models with interactive fixed effects, Panel vector autoregression under cross-sectional dependence, Factor models in high-dimensional time series: A time-domain approach, Error-Correction Factor Models for High-dimensional Cointegrated Time Series, Efficient estimation of nonstationary factor models, Using large data sets to forecast sectoral employment, On bootstrapping panel factor series, Detecting Common Longevity Trends by a Multiple Population Approach, A semiparametric model for heterogeneous panel data with fixed effects, A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors, Multivariate modelling of long memory processes with common components, Extreme canonical correlations and high-dimensional cointegration analysis, Dynamic factor structure of team performances in Liga MX, Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
- Testing for a unit root in panels with dynamic factors
- Testing for Common Trends
- Estimating Regression Models of Finite but Unknown Order
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Asymptotic Theory for Principal Component Analysis