Theory and methods of panel data models with interactive effects

DOI10.1214/13-AOS1183zbMath1331.62112arXiv1402.6550OpenAlexW1972361235MaRDI QIDQ2448726

Jushan Bai, Kunpeng Li

Publication date: 5 May 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.6550

zbMATH Keywords

maximum likelihoodsimultaneous equationsprincipal componentscommon shock modelfactor error structurewithin-group estimatorpseudo-Gaussian ML method

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric inference under constraints (62F30)

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