Persistence heterogeneity testing in panels with interactive fixed effects

DOI10.1111/JTSA.12436MaRDI QIDQ5226147zbMATH OpenOpenAlexFDO

Authors Yunus Emre Ergemen, Carlos I. Hoyos Velasco

Publication date 30 July 2019

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://pure.au.dk/ws/files/202331531/rp18_11.pdf

zbMATH Keywords

factor modelsfractional integrationhomogeneity testlong memorypanel data

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Fractional processes, including fractional Brownian motion (60G22) Asymptotic properties of parametric tests (62F05) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic normal tests for integration in panels with cross-dependent units
• Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
• Efficient inference on fractionally integrated panel data models with fixed effects
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Estimation of fractionally integrated panels with fixed effects and cross-section dependence
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity
• Panel data models with interactive fixed effects
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Testing homogeneity in panel data models with interactive fixed effects
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

Cited in

(4)

• Intercept homogeneity test for fixed effect models under cross-sectional dependence: some insights
• Efficient inference on fractionally integrated panel data models with fixed effects
• Testing for individual and time effects in panel data models with interactive effects
• Estimation of fractionally integrated panels with fixed effects and cross-section dependence

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