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

DOI10.1016/j.jeconom.2019.08.011zbMath1456.62294WikidataQ126815823 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 estimation; panel data models; extreme value theory; factor analysis; common shocks; heterogeneous coefficients; inferential theory; block diagonal covariance

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics