Weak and strong cross-section dependence and estimation of large panels
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Publication:3018486
DOI10.1111/J.1368-423X.2010.00330.XzbMATH Open1218.62097OpenAlexW2168503902MaRDI QIDQ3018486FDOQ3018486
Authors: Alexander Chudik, M. Hashem Pesaran, Elisa Tosetti 
Publication date: 27 July 2011
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2010.00330.x
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- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
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- Testing weak cross-sectional dependence in large panels
- Detecting granular time series in large panels
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- Unbiased CCE estimator for interactive fixed effects panels
- 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
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- Cross-Section Regression with Common Shocks
- Multistep forecast selection for panel data
- Cross-sectional averages versus principal components
- Factor models with local factors -- determining the number of relevant factors
- Asymptotics for panel models with common shocks
- On the estimation and inference in factor-augmented panel regressions with correlated loadings
- Panel data measures of price discovery
- Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects
- Inference on factor structures in heterogeneous panels
- Common breaks in means for cross-correlated fixed-\(T\) panel data
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Mean group estimation in presence of weakly cross-correlated estimators
- Econometric analysis of production networks with dominant units
- Fixed T dynamic panel data estimators with multifactor errors
- Editorial. Factor structures for panel and multivariate time series data
- Cross-Sectional Dependence in Panel Data Analysis
- Revisiting useful approaches to data-rich macroeconomic forecasting
- The effect of recursive detrending on panel unit root tests
- A nonlinear panel data model of cross-sectional dependence
- Asymptotically efficient model selection for panel data forecasting
- Econometric analysis of high dimensional VARs featuring a dominant unit
- A generalized spatial panel data model with random effects
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- Cross-sectional dependence robust block bootstrap panel unit root tests
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- The factor analytical approach in near unit root interactive effects panels
- Pairwise influences in dynamic choice: network-based model and application
- Maximum likelihood estimation of a spatial autoregressive Tobit model
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- Inference and testing breaks in large dynamic panels with strong cross sectional dependence
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- Unobserved heterogeneity in panel time series models
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- Quantifying noise in survey expectations
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- Challenges for panel financial analysis
- Determining the number of factors with potentially strong within-block correlations in error terms
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- Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures
- Unified M-estimation of matrix exponential spatial dynamic panel specification
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- Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors
- Inference in Sparsity-Induced Weak Factor Models
- Time varying factor models with possibly strongly correlated noises
- Size, openness, and macroeconomic interdependence
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- Statistical Inference on Panel Data Models: A Kernel Ridge Regression Method
- Panel data nowcasting
- 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
- 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
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- Exponent of cross-sectional dependence for residuals
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- Most powerful test against a sequence of high dimensional local alternatives
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