Theory and methods of panel data models with interactive effects
Publication:2448726
DOI10.1214/13-AOS1183zbMath1331.62112arXiv1402.6550MaRDI QIDQ2448726
Publication date: 5 May 2014
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.6550
maximum likelihood; simultaneous equations; principal components; common shock model; factor error structure; within-group estimator; pseudo-Gaussian ML method
62F12: Asymptotic properties of parametric estimators
62P20: Applications of statistics to economics
62H25: Factor analysis and principal components; correspondence analysis
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F30: Parametric inference under constraints
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