Estimating cross-section common stochastic trends in nonstationary panel data

DOI10.1016/J.JECONOM.2003.10.022zbMATH Open1282.91264OpenAlexW1989672512MaRDI QIDQ2439092FDOQ2439092

Authors: Jushan Bai 

Publication date: 7 March 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.10.022

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zbMATH Keywords

principal componentsdynamic factorsgeneralized dynamic factor modelscommon-stochastic trendsnonstationary panel data

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Nonstationary panels, panel cointegration, and dynamic panels
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• Testing for a unit root in panels with dynamic factors
• A PANIC attack on unit roots and cointegration.
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
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• Testing for Common Trends
• Asymptotic Theory for Principal Component Analysis
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Title not available (Why is that?)
• Estimating Regression Models of Finite but Unknown Order

Cited In (42)

• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Long Memory Factor Model: On Estimation of Factor Memories
• BTtest
• Multivariate modelling of long memory processes with common components
• Identifying latent grouped patterns in cointegrated panels
• Detecting common longevity trends by a multiple population approach
• Non-parametric regression with a latent time series
• Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
• Identification of Time-Varying Factor Models
• Micro versus macro cointegration in heterogeneous panels
• A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris
• Parameter cascading for panel models with unknown number of unobserved factors: an application to the credit spread puzzle
• Dynamic factor structure of team performances in Liga MX
• Asymptotics for panel models with common shocks
• Extreme canonical correlations and high-dimensional cointegration analysis
• A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
• Panel cointegration with global stochastic trends
• Testing for Common Trends in Nonstationary Large Datasets
• Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Factor models in high-dimensional time series: A time-domain approach
• Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
• Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
• Parameters measuring bank risk and their estimation
• The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
• A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors
• Confidence intervals of treatment effects in panel data models with interactive fixed effects
• On the asymptotic \(t\)-test for large nonstationary panel models
• Trends and cycles in non-stationary panel models
• Multi-population mortality modeling: when the data is too much and not enough
• Inference in Heavy-Tailed Nonstationary Multivariate Time Series
• Factor model forecasts of exchange rates
• Error-correction factor models for high-dimensional cointegrated time series
• First-differenced inference for panel factor series
• Disaggregate stochastic trends in industrial production
• Sequential testing for structural stability in approximate factor models
• On bootstrapping panel factor series
• Efficient estimation of nonstationary factor models
• Estimation of common factors under cross-sectional and temporal aggregation constraints
• Using large data sets to forecast sectoral employment
• A semiparametric model for heterogeneous panel data with fixed effects
• Panel vector autoregression under cross-sectional dependence

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