Weak and strong cross-section dependence and estimation of large panels
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Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Inference from stochastic processes and spectral analysis (62M15) Inference from spatial processes (62M30) Applications of statistics to economics (62P20) Statistical tables (62Q05) Monte Carlo methods (65C05)
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- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Determining the Number of Factors in Approximate Factor Models
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Funds, Factors, and Diversification in Arbitrage Pricing Models
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- Large panels with common factors and spatial correlation
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Matrix Analysis
- ON STATIONARY PROCESSES IN THE PLANE
- Panel data models with interactive fixed effects
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- Stochastic Limit Theory
Cited in
(only showing first 100 items - show all)- Cross-sectional dependence robust block bootstrap panel unit root tests
- Revisiting useful approaches to data-rich macroeconomic forecasting
- Intercept homogeneity test for fixed effect models under cross-sectional dependence: some insights
- Unbiased CCE estimator for interactive fixed effects panels
- Mean group estimation in presence of weakly cross-correlated estimators
- Identifying latent grouped patterns in panel data models with interactive fixed effects
- Panel models with interactive effects
- Real exchange rates and the balance of trade: does the J-curve effect really hold?
- Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects
- Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
- Estimation of partially linear panel data models with cross-sectional dependence
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Econometric analysis of production networks with dominant units
- On the robustness of the pooled CCE estimator
- Detecting granular time series in large panels
- Recursive estimation in large panel data models: theory and practice
- A new stochastic frontier model with cross-sectional effects in both noise and inefficiency terms
- Exponent of cross-sectional dependence for residuals
- Testing for sphericity in a fixed effects panel data model with time-varying variances
- Cross-sectional averages versus principal components
- The effect of recursive detrending on panel unit root tests
- On the estimation and inference in factor-augmented panel regressions with correlated loadings
- Panel unit root tests in the presence of a multifactor error structure
- Aggregation in large dynamic panels
- Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
- Detection of units with pervasive effects in large panel data models
- The factor analytical approach in near unit root interactive effects panels
- Estimation and inference in spatial models with dominant units
- An integrated panel data approach to modelling economic growth
- Factor models with local factors -- determining the number of relevant factors
- High-dimensional VARs with common factors
- Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
- Most powerful test against a sequence of high dimensional local alternatives
- Kernel estimation of hazard functions when observations have dependent and common covariates
- Size, openness, and macroeconomic interdependence
- Dynamic linear panel regression models with interactive fixed effects
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Panel vector autoregression under cross-sectional dependence
- Multilateral resistance and the Euro effects on trade flows
- Challenges for panel financial analysis
- A nonlinear panel data model of cross-sectional dependence
- Inference on factor structures in heterogeneous panels
- Risks of large portfolios
- Asymptotic analysis of the squared estimation error in misspecified factor models
- Asymptotically efficient model selection for panel data forecasting
- 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
- A robust test for serial correlation in panel data models
- On the role of the rank condition in CCE estimation of factor-augmented panel regressions
- Asymptotics for panel models with common shocks
- Cross-Sectional Dependence in Panel Data Analysis
- An Overview of Dependence in Cross-Section, Time-Series, and Panel Data
- Econometric analysis of high dimensional VARs featuring a dominant unit
- A generalized spatial panel data model with random effects
- A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
- On estimation and inference in heterogeneous panel regressions with interactive effects
- Sieve estimation of panel data models with cross section dependence
- Testing for panel cointegration using common correlated effects estimators
- Large panels with common factors and spatial correlation
- Common breaks in means for cross-correlated fixed-\(T\) panel data
- Cross-Section Regression with Common Shocks
- Multistep forecast selection for panel data
- Common factors and spatial dependence: an application to US house prices
- Time varying factor models with possibly strongly correlated noises
- Pairwise influences in dynamic choice: network-based model and application
- Estimation of factor-augmented panel regressions with weakly influential factors
- Fixed T dynamic panel data estimators with multifactor errors
- Testing weak cross-sectional dependence in large panels
- Determining the number of factors with potentially strong within-block correlations in error terms
- Panel data measures of price discovery
- Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- Panel data nowcasting
- Unified M-estimation of matrix exponential spatial dynamic panel specification
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- Quantifying noise in survey expectations
- Linear panel regressions with two-way unobserved heterogeneity
- News-implied linkages and local dependency in the equity market
- Forward detrending for heteroskedasticity-robust panel unit root testing
- Factor models for high‐dimensional functional time series II: Estimation and forecasting
- Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
- Spatial dependence in small cooperative bank risk behavior and its effects on bank competitiveness and SMEs
- Inference in Sparsity-Induced Weak Factor Models
- Estimation of Sparsity-Induced Weak Factor Models
- Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors
- Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
- Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
- Statistical Inference on Panel Data Models: A Kernel Ridge Regression Method
- 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
- System Estimation of Panel Data Models Under Long-Range Dependence
- Estimation and inference in high-dimensional panel data models with interactive fixed effects
- On generalized cce estimation
- Five lessons for applied researchers from twenty years of common correlated effects estimation
- CCE under nonrandom heterogeneity
- Interactive effects panel data models with general factors and regressors
- Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure
- Using information criteria to select averages in CCE
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