Weak and strong cross-section dependence and estimation of large panels
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Publication:3018486
Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Inference from spatial processes (62M30) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15) Statistical tables (62Q05)
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Cites work
- scientific article; zbMATH DE number 2161246 (Why is no real title available?)
- scientific article; zbMATH DE number 2174795 (Why is no real title available?)
- scientific article; zbMATH DE number 1911755 (Why is no real title available?)
- An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
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- Generalized linear dynamic factor models: an approach via singular autoregressions
- Large panels with common factors and spatial correlation
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Matrix Analysis
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- Panel data models with interactive fixed effects
- Panels with non-stationary multifactor error structures
- Stochastic Limit Theory
Cited in
(only showing first 100 items - show all)- Panel vector autoregression under cross-sectional dependence
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Dynamic linear panel regression models with interactive fixed effects
- Multilateral resistance and the Euro effects on trade flows
- System Estimation of Panel Data Models Under Long-Range Dependence
- Testing weak cross-sectional dependence in large panels
- Unbiased CCE estimator for interactive fixed effects panels
- Detecting granular time series in large panels
- On the robustness of the pooled CCE estimator
- Real exchange rates and the balance of trade: does the J-curve effect really hold?
- Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
- Forward detrending for heteroskedasticity-robust panel unit root testing
- Kernel estimation of hazard functions when observations have dependent and common covariates
- Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
- On estimation and inference in heterogeneous panel regressions with interactive effects
- Recursive estimation in large panel data models: theory and practice
- Spatial dependence in small cooperative bank risk behavior and its effects on bank competitiveness and SMEs
- Challenges for panel financial analysis
- Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
- Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
- Common factors and spatial dependence: an application to US house prices
- Determining the number of factors with potentially strong within-block correlations in error terms
- Cross-Section Regression with Common Shocks
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures
- Unified M-estimation of matrix exponential spatial dynamic panel specification
- Multistep forecast selection for panel data
- Estimation of Sparsity-Induced Weak Factor Models
- Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors
- Inference in Sparsity-Induced Weak Factor Models
- Cross-sectional averages versus principal components
- Time varying factor models with possibly strongly correlated noises
- Factor models with local factors -- determining the number of relevant factors
- On the estimation and inference in factor-augmented panel regressions with correlated loadings
- Asymptotics for panel models with common shocks
- Inference on factor structures in heterogeneous panels
- Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects
- Panel data measures of price discovery
- Size, openness, and macroeconomic interdependence
- Common breaks in means for cross-correlated fixed-\(T\) panel data
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- Mean group estimation in presence of weakly cross-correlated estimators
- Econometric analysis of production networks with dominant units
- Editorial. Factor structures for panel and multivariate time series data
- Statistical Inference on Panel Data Models: A Kernel Ridge Regression Method
- Fixed T dynamic panel data estimators with multifactor errors
- Panel data nowcasting
- Revisiting useful approaches to data-rich macroeconomic forecasting
- Cross-Sectional Dependence in Panel Data Analysis
- The effect of recursive detrending on panel unit root tests
- Detection of units with pervasive effects in large panel data models
- Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
- A nonlinear panel data model of cross-sectional dependence
- Community Detection in Partial Correlation Network Models
- Interpretable Sparse Proximate Factors for Large Dimensions
- Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
- Asymptotically efficient model selection for panel data forecasting
- Identifying latent grouped patterns in panel data models with interactive fixed effects
- Panel models with interactive effects
- Intercept homogeneity test for fixed effect models under cross-sectional dependence: some insights
- Cross-sectional dependence robust block bootstrap panel unit root tests
- Econometric analysis of high dimensional VARs featuring a dominant unit
- A generalized spatial panel data model with random effects
- Panel data models with cross-sectional dependence: a selective review
- The factor analytical approach in near unit root interactive effects panels
- A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
- Maximum likelihood estimation of a spatial autoregressive Tobit model
- An alternative semiparametric model for spatial panel data
- Pairwise influences in dynamic choice: network-based model and application
- Panel unit root tests in the presence of a multifactor error structure
- Linear panel regressions with two-way unobserved heterogeneity
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Aggregation in large dynamic panels
- Sieve estimation of panel data models with cross section dependence
- Large panels with common factors and spatial correlation
- Estimation and inference in spatial models with dominant units
- Factor models for high‐dimensional functional time series II: Estimation and forecasting
- Panels with non-stationary multifactor error structures
- High-dimensional VARs with common factors
- Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
- Estimation of fractionally integrated panels with fixed effects and cross-section dependence
- Inference and testing breaks in large dynamic panels with strong cross sectional dependence
- Exponent of cross-sectional dependence for residuals
- Testing for panel cointegration using common correlated effects estimators
- A robust test for serial correlation in panel data models
- An integrated panel data approach to modelling economic growth
- Asymptotic analysis of the squared estimation error in misspecified factor models
- News-implied linkages and local dependency in the equity market
- On the role of the rank condition in CCE estimation of factor-augmented panel regressions
- Testing for sphericity in a fixed effects panel data model with time-varying variances
- Estimation of heterogeneous panels with structural breaks
- Unobserved heterogeneity in panel time series models
- Most powerful test against a sequence of high dimensional local alternatives
- Estimation of partially linear panel data models with cross-sectional dependence
- Estimation of factor-augmented panel regressions with weakly influential factors
- Infinite-dimensional VARs and factor models
- Risks of large portfolios
- A new stochastic frontier model with cross-sectional effects in both noise and inefficiency terms
- An Overview of Dependence in Cross-Section, Time-Series, and Panel Data
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