Asymptotics for panel models with common shocks
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Cites work
- A pair-wise approach to testing for output and growth convergence
- A PANIC attack on unit roots and cointegration.
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Asymptotics for linear processes
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Common failings: how corporate defaults are correlated
- Cross-Section Regression with Common Shocks
- Determining the Number of Factors in Approximate Factor Models
- Estimating cross-section common stochastic trends in nonstationary panel data
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Forecasting Using Principal Components From a Large Number of Predictors
- GMM estimation of linear panel data models with time-varying individual effects
- GMM estimation with cross sectional dependence
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- Inferential Theory for Factor Models of Large Dimensions
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Linear Regression Limit Theory for Nonstationary Panel Data
- Panel cointegration with global stochastic trends
- Panels with non-stationary multifactor error structures
- Sieve bootstrapt-tests on long-run average parameters
- Spurious regression and residual-based tests for cointegration in panel data
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Testing for a unit root in panels with dynamic factors
- Transition Modeling and Econometric Convergence Tests
Cited in
(11)- Inferences in panel data with interactive effects using large covariance matrices
- Limit theory for panel data models with cross sectional dependence and sequential exogeneity
- An incidental parameters free inference approach for panels with common shocks
- Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
- On estimation and inference in heterogeneous panel regressions with interactive effects
- Asymptotic distribution of factor augmented estimators for panel regression
- On bootstrapping panel factor series
- Cross-Section Regression with Common Shocks
- Structural breaks in panel data: large number of panels and short length time series
- Model-free classification of panel data via the -complexity theory
- Efficiency in large dynamic panel models with common factors
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