Inferences in panel data with interactive effects using large covariance matrices

DOI10.1016/j.jeconom.2017.05.014zbMath1388.62356OpenAlexW2628705338MaRDI QIDQ2398975

Yuan Liao, Jushan Bai

Publication date: 21 August 2017

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.05.014

zbMATH Keywords

confidence intervalshigh dimensionalitythresholdingheteroskedasticityoptimal weight matrixcross-sectional correlationunknown factorsconditional sparsity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Related Items (5)

Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors ⋮ Shrinkage estimation of network spillovers with factor structured errors ⋮ Bridging factor and sparse models ⋮ A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ Semi-parametric single-index panel data models with interactive fixed effects: theory and practice

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