Aggregation in large dynamic panels

DOI10.1016/j.jeconom.2013.08.027zbMath1293.62199OpenAlexW3124372539MaRDI QIDQ2511786

M. Hashem Pesaran, Alexander Chudik

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.027

zbMATH Keywords

aggregationlong memoryfactor modelsVAR modelsimpulse responsesinflation persistencelarge dynamic panelsweak and strong cross section dependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

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