Estimating cross-section common stochastic trends in nonstationary panel data

DOI10.1016/J.JECONOM.2003.10.022MaRDI QIDQ2439092zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Common stochastic trends and aggregation in heterogeneous panels
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
• Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence
• Testing for common trends in semi-parametric panel data models with fixed effects
• Nonparametric estimation in large panels with cross-sectional dependence
• Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
• Estimation in a semiparametric panel data model with nonstationarity
• Trends and cycles in non-stationary panel models
• Semiparametric trending panel data models with cross-sectional dependence

Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 3278338 (Why is no real title available?)
• scientific article; zbMATH DE number 3396952 (Why is no real title available?)
• A PANIC attack on unit roots and cointegration.
• Asymptotic Theory for Principal Component Analysis
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• Determining the Number of Factors in Approximate Factor Models
• Estimating Regression Models of Finite but Unknown Order
• Inferential Theory for Factor Models of Large Dimensions
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Nonstationary panels, panel cointegration, and dynamic panels
• Testing for Common Trends
• Testing for a unit root in panels with dynamic factors

Cited in

(42)

• Multivariate modelling of long memory processes with common components
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Long Memory Factor Model: On Estimation of Factor Memories
• Identifying latent grouped patterns in cointegrated panels
• Non-parametric regression with a latent time series
• Detecting common longevity trends by a multiple population approach
• A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris
• Micro versus macro cointegration in heterogeneous panels
• Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
• Identification of Time-Varying Factor Models
• 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
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Testing for Common Trends in Nonstationary Large Datasets
• Factor models in high-dimensional time series: A time-domain approach
• Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence
• Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
• Parameters measuring bank risk and their estimation
• Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
• 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
• Trends and cycles in non-stationary panel models
• On the asymptotic \(t\)-test for large nonstationary panel models
• Multi-population mortality modeling: when the data is too much and not enough
• BTtest
• Factor model forecasts of exchange rates
• Inference in Heavy-Tailed Nonstationary Multivariate Time Series
• First-differenced inference for panel factor series
• Error-correction factor models for high-dimensional cointegrated time 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

This page was built for publication: Estimating cross-section common stochastic trends in nonstationary panel data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2439092)