Recursive estimation in large panel data models: theory and practice
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Publication:2236876
DOI10.1016/J.JECONOM.2020.07.055OpenAlexW2600143733MaRDI QIDQ2236876FDOQ2236876
Authors: Yanyan Li 
Publication date: 26 October 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp05-17.pdf
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Panel data models with spatially correlated error components
- Weak and strong cross-section dependence and estimation of large panels
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Sieve estimation of panel data models with cross section dependence
- Large panels with common factors and spatial correlation
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- Maximization by Parts in Likelihood Inference
- Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
- Panels with non-stationary multifactor error structures
- Nonlinear time series. Nonparametric and parametric methods
- Estimation of latent factors for high-dimensional time series
- Panel data models with interactive fixed effects
- Theory and methods of panel data models with interactive effects
- Linear regression for panel with unknown number of factors as interactive fixed effects
- Nonlinear Time Series
- Semiparametric single-index panel data models with cross-sectional dependence
- Semiparametric trending panel data models with cross-sectional dependence
- SOME CONVERGENCE THEORY FOR ITERATIVE ESTIMATION PROCEDURES WITH AN APPLICATION TO SEMIPARAMETRIC ESTIMATION
- Nonparametric estimation in large panels with cross-sectional dependence
- Specification test for panel data models with interactive fixed effects
- A simple iterative Z-estimator for semiparametric models
Cited In (6)
- Factor-augmented Model for Functional Data
- Implicit profiling estimation for semiparametric models with bundled parameters
- Title not available (Why is that?)
- Profile GMM estimation of panel data models with interactive fixed effects
- On the two algorithms for estimating interactive fixed effects models in Bai (2009)
- Binary response models for heterogeneous panel data with interactive fixed effects
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