Panels with non-stationary multifactor error structures
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Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Determining the Number of Factors in Approximate Factor Models
- Estimating long-run relationships from dynamic heterogeneous panels
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Forecasting in dynamic factor models subject to structural instability
- Inferential Theory for Factor Models of Large Dimensions
- 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
- Panel cointegration with global stochastic trends
- Rao's score test in spatial econometrics
- Weak and strong cross-section dependence and estimation of large panels
Cited in
(55)- Weak and strong cross-section dependence and estimation of large panels
- Dynamic linear panel regression models with interactive fixed effects
- System Estimation of Panel Data Models Under Long-Range Dependence
- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
- Modified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is small
- Inferential theory for heterogeneity and cointegration in large panels
- On the robustness of the pooled CCE estimator
- Deconvolution from panel data with unknown error distribution
- Semi-parametric single-index panel data models with interactive fixed effects: theory and practice
- Real exchange rates and the balance of trade: does the J-curve effect really hold?
- Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
- The performance of panel cointegration methods: results from a large scale simulation study
- Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
- Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
- Recursive estimation in large panel data models: theory and practice
- A method to evaluate the rank condition for CCE estimators
- Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
- Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
- Common factors and spatial dependence: an application to US house prices
- Nonstationary panels, panel cointegration, and dynamic panels
- On the estimation and inference in factor-augmented panel regressions with correlated loadings
- Asymptotics for panel models with common shocks
- Size, openness, and macroeconomic interdependence
- Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Testing for Common Trends in Nonstationary Large Datasets
- Fixed T dynamic panel data estimators with multifactor errors
- Cross-Sectional Dependence in Panel Data Analysis
- Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
- The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
- An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
- Sieve bootstrapt-tests on long-run average parameters
- Integration of north and south American players in Japan's professional baseball leagues
- Identifying latent grouped patterns in panel data models with interactive fixed effects
- Real exchange rate misalignments in the euro area
- Panel data models with cross-sectional dependence: a selective review
- On the asymptotic \(t\)-test for large nonstationary panel models
- Panel regression with multiplicative measurement errors
- An alternative semiparametric model for spatial panel data
- Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model
- Estimation of a level shift in panel data with fractionally integrated errors
- Panel unit root tests in the presence of a multifactor error structure
- Large panels with common factors and spatial correlation
- First-differenced inference for panel factor series
- A bias-corrected Srivastava-type test for cross-sectional independence
- Estimation of fractionally integrated panels with fixed effects and cross-section dependence
- Instrumental variables estimation in large heterogeneous panels with multifactor structure
- Testing for panel cointegration using common correlated effects estimators
- On the role of the rank condition in CCE estimation of factor-augmented panel regressions
- The long-run determinants of fertility: one century of demographic change 1900--1999
- Estimation of heterogeneous panels with structural breaks
- A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
- Estimation of partially linear panel data models with cross-sectional dependence
- Cross-section bootstrap for CCE regressions
- A spatio-temporal model of house prices in the USA
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