Efficient estimation of heterogeneous coefficients in panel data models with common shocks

DOI10.1016/j.jeconom.2019.08.011zbMath1456.62294OpenAlexW3119701859WikidataQ126815823 ScholiaQ126815823MaRDI QIDQ2173185

Kunpeng Li, Guowei Cui, Lina Lü

Publication date: 22 April 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.08.011

zbMATH Keywords

maximum likelihood estimationpanel data modelsextreme value theoryfactor analysiscommon shocksheterogeneous coefficientsinferential theoryblock diagonal covariance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (7)

Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks ⋮ Integrative Analysis for High-Dimensional Stratified Models ⋮ Binary response models for heterogeneous panel data with interactive fixed effects ⋮ A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse ⋮ A spatial panel quantile model with unobserved heterogeneity ⋮ Testing for time-varying factor loadings in high-dimensional factor models

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