Estimating cross-section common stochastic trends in nonstationary panel data
From MaRDI portal
Publication:2439092
DOI10.1016/j.jeconom.2003.10.022zbMath1282.91264MaRDI QIDQ2439092
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
dynamic factors; principal components; generalized dynamic factor models; common-stochastic trends; nonstationary panel data
62H25: Factor analysis and principal components; correspondence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
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