EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS

DOI10.1017/S0266466614000024zbMath1314.62203OpenAlexW3121319442MaRDI QIDQ2929841

Christian Gouriéroux, Patrick Gagliardini

Publication date: 14 November 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000024

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Credit risk (91G40)

Related Items (7)

Double instrumental variable estimation of interaction models with big data ⋮ Semiparametric estimation of latent variable asset pricing models ⋮ Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects ⋮ LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS ⋮ Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects ⋮ Unified inference for nonlinear factor models from panels with fixed and large time span ⋮ Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators

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