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