Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
From MaRDI portal
Publication:3418479
DOI10.1111/j.1468-0262.2006.00692.xzbMath1152.91718OpenAlexW3121722945WikidataQ29397011 ScholiaQ29397011MaRDI QIDQ3418479
Publication date: 5 February 2007
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://www.cesifo.org/DocDL/cesifo1_wp1331.pdf
large panelscross-section dependencecommon correlated effectsestimation and inferenceheterogeneicity
Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)
Related Items
Estimation of partially linear panel data models with cross-sectional dependence ⋮ A correlated random effects approach to the estimation of models with multiple fixed effects ⋮ Kernel estimation of hazard functions when observations have dependent and common covariates ⋮ Statistical inference in a random coefficient panel model ⋮ Parameter cascading for panel models with unknown number of unobserved factors: an application to the credit spread puzzle ⋮ Testing slope homogeneity in large panels ⋮ Sectoral inflation and the Phillips curve: what has changed Since the great recession? ⋮ Evolution of forecast disagreement in a Bayesian learning model ⋮ Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large ⋮ A test of cross section dependence for a linear dynamic panel model with regressors ⋮ Consistent noisy independent component analysis ⋮ Panel cointegration with global stochastic trends ⋮ Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels ⋮ Dynamic panels with threshold effect and endogeneity ⋮ Nonparametric testing for smooth structural changes in panel data models ⋮ A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks ⋮ Capital taxation and government debt policy with public discounting ⋮ Set identification of panel data models with interactive effects via quantile restrictions ⋮ Identification problem of GMM estimators for short panel data models with interactive fixed effects ⋮ Inference on modelling cross-sectional dependence for a varying-coefficient model ⋮ Efficient estimation of heterogeneous coefficients in panel data models with common shocks ⋮ Estimation for varying coefficient panel data model with cross-sectional dependence ⋮ Testing slope homogeneity in panel data models with a multifactor error structure ⋮ The long-run determinants of fertility: one century of demographic change 1900--1999 ⋮ Instrumental variables estimation in large heterogeneous panels with multifactor structure ⋮ On the asymptotic \(t\)-test for large nonstationary panel models ⋮ Uncovering spatial productivity centers using asymmetric bidirectional spillovers ⋮ Macro-panels and reality ⋮ On the unbiased asymptotic normality of quantile regression with fixed effects ⋮ Series estimation under cross-sectional dependence ⋮ Shrinkage estimation of dynamic panel data models with interactive fixed effects ⋮ A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris ⋮ Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso ⋮ Estimation of heterogeneous panels with structural breaks ⋮ Changepoint in dependent and non-stationary panels ⋮ Financial crises and economic recovery: cross-country heterogeneity and cross-sectional dependence ⋮ Unbiased CCE estimator for interactive fixed effects panels ⋮ A nonlinear panel data model of cross-sectional dependence ⋮ Inference on factor structures in heterogeneous panels ⋮ Heterogeneous panel data models with cross-sectional dependence ⋮ Editorial: Celebrating 40 years of panel data analysis: past, present and future ⋮ Nonlinear factor models for network and panel data ⋮ On the robustness of the pooled CCE estimator ⋮ Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure ⋮ Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure ⋮ Nonstationary panel models with latent group structures and cross-section dependence ⋮ Efficient minimum distance estimator for quantile regression fixed effects panel data ⋮ A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ Forecasting mortality with international linkages: a global vector-autoregression approach ⋮ Recursive estimation in large panel data models: theory and practice ⋮ On CCE estimation of factor-augmented models when regressors are not linear in the factors ⋮ Testing for no factor structures: on the use of Hausman-type statistics ⋮ Factor-augmented regression models with structural change ⋮ 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 ⋮ On the role of the rank condition in CCE estimation of factor-augmented panel regressions ⋮ On the determination of the number of factors using information criteria with data-driven penalty ⋮ Spatial dynamic panel data models with interactive fixed effects ⋮ Inflation and demography through time ⋮ Are professional forecasters Bayesian? ⋮ Unobserved heterogeneity in panel time series models ⋮ Penalized least squares estimation with weakly dependent data ⋮ Recent advances in panel data, nonlinear and nonparametric models: a festschrift in honor of Peter C.B. Phillips ⋮ Sieve estimation of panel data models with cross section dependence ⋮ Asymptotic distribution of factor augmented estimators for panel regression ⋮ A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model ⋮ Semiparametric trending panel data models with cross-sectional dependence ⋮ Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation ⋮ Robust estimation under error cross section dependence ⋮ Large panels with common factors and spatial correlation ⋮ Real exchange rates and the balance of trade: does the J-curve effect really hold? ⋮ An alternative semiparametric model for spatial panel data ⋮ Model specification in panel data unit root tests with an unknown break ⋮ Inference without smoothing for large panels with cross-sectional and temporal dependence ⋮ Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity ⋮ Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity ⋮ Factor dimension determination for panel interactive effects models: an orthogonal projection approach ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Identifying latent grouped patterns in panel data models with interactive fixed effects ⋮ Panel models with interactive effects ⋮ Panel data analysis with heterogeneous dynamics ⋮ A spatio-temporal model of house prices in the USA ⋮ Knowledge spillovers in US patents: a dynamic patent intensity model with secret common innovation factors ⋮ Panels with non-stationary multifactor error structures ⋮ Editorial. Factor structures for panel and multivariate time series data ⋮ Infinite-dimensional VARs and factor models ⋮ Dynamic spatial panel data models with common shocks ⋮ Real exchange rate misalignments in the euro area ⋮ Econometric issues in the analysis of contagion ⋮ Sieve bootstrapt-tests on long-run average parameters ⋮ Tests for the explanatory power of latent factors ⋮ Shrinkage estimation of panel data models with interactive effects ⋮ A wavelet method for panel models with jump discontinuities in the parameters ⋮ Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects ⋮ Changepoint estimation for dependent and non-stationary panels. ⋮ Estimation of dynamic mixed double factors model in high-dimensional panel data ⋮ Fast inference methods for high-dimensional factor copulas ⋮ A spatial panel quantile model with unobserved heterogeneity ⋮ Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence ⋮ Matrix Completion Methods for Causal Panel Data Models ⋮ An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls ⋮ Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency ⋮ Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors ⋮ Testing for Panel Cointegration Using Common Correlated Effects Estimators ⋮ Non-parametric regression with a latent time series ⋮ F-test and z-test for high-dimensional regression models with a factor structure ⋮ A panel data approach to economic forecasting: the bias-corrected average forecast ⋮ Pairwise Tests of Purchasing Power Parity ⋮ Multilateral Resistance and the Euro Effects on Trade Flows ⋮ Challenges for Panel Financial Analysis ⋮ Inferences in panel data with interactive effects using large covariance matrices ⋮ Asymptotics for Panel Models with Common Shocks ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence ⋮ An Overview of Dependence in Cross-Section, Time-Series, and Panel Data ⋮ Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit ⋮ Nonparametric Estimation in Large Panels with Cross-Sectional Dependence ⋮ Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ An integrated panel data approach to modelling economic growth ⋮ An incidental parameters free inference approach for panels with common shocks ⋮ Estimation and inference in heterogeneous spatial panels with a multifactor error structure ⋮ The endogeneity of exchange rate pass-through: some European evidence ⋮ Sectoral wage rigidities and labour and product market institutions in the euro area ⋮ A feasible Spline-kernel estimate for short cross-sectional dependence panel data models ⋮ Shrinkage quantile regression for panel data with multiple structural breaks ⋮ Subspace clustering for panel data with interactive effects ⋮ Variable selection in heterogeneous panel data models with cross‐sectional dependence ⋮ Quantifying noise in survey expectations ⋮ Linear panel regressions with two-way unobserved heterogeneity ⋮ Comparing forecasting performance in cross-sections ⋮ A bi-integrative analysis of two-dimensional heterogeneous panel data models ⋮ Testing factors in CCE ⋮ Depth-weighted means of noisy data: an application to estimating the average effect in heterogeneous panels ⋮ Profile GMM estimation of panel data models with interactive fixed effects ⋮ Unnamed Item ⋮ IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS ⋮ Treatment effects in interactive fixed effects models with a small number of time periods ⋮ Unnamed Item ⋮ Are US real house prices stationary? New evidence from univariate and panel data ⋮ Robust projected principal component analysis for large-dimensional semiparametric factor modeling ⋮ Modified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is small ⋮ Panel vector autoregression under cross-sectional dependence ⋮ Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states ⋮ On the estimation and inference in factor-augmented panel regressions with correlated loadings ⋮ Limit theory for panel data models with cross sectional dependence and sequential exogeneity ⋮ Modeling US housing prices by spatial dynamic structural equation models ⋮ SIZE, OPENNESS, AND MACROECONOMIC INTERDEPENDENCE ⋮ DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS ⋮ Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data ⋮ Theory and methods of panel data models with interactive effects ⋮ THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS ⋮ Generalized dynamic panel data models with random effects for cross-section and time ⋮ Three-dimensional panel data models with interactive effects: estimation and simulation ⋮ A Markov-switching multifractal inter-trade duration model, with application to US equities ⋮ MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES ⋮ Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model ⋮ On the impact of error cross-sectional dependence in short dynamic panel estimation ⋮ Weak and strong cross‐section dependence and estimation of large panels ⋮ Large Covariance Estimation by Thresholding Principal Orthogonal Complements ⋮ AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS ⋮ Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions ⋮ Aggregation in large dynamic panels ⋮ Estimating and testing a quantile regression model with interactive effects ⋮ Individual and time effects in nonlinear panel models with large \(N\), \(T\) ⋮ Heterogeneity in panel data and in nonparametric analysis ⋮ A semiparametric model for heterogeneous panel data with fixed effects ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ Modelling regional patterns of inefficiency: a Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales ⋮ Determining individual or time effects in panel data models ⋮ INTEGRATION OF NORTH AND SOUTH AMERICAN PLAYERS IN JAPAN'S PROFESSIONAL BASEBALL LEAGUES ⋮ Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects ⋮ TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS ⋮ On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects ⋮ Variable selection in panel models with breaks ⋮ Testing additive versus interactive effects in fixed-\(T\) panels ⋮ The long-run relationship between public consumption and output in developing countries: evidence from panel data ⋮ A diagnostic criterion for approximate factor structure ⋮ Semi-parametric single-index panel data models with interactive fixed effects: theory and practice ⋮ LIMIT THEOREMS FOR FACTOR MODELS ⋮ Estimation in a semiparametric panel data model with nonstationarity ⋮ Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach ⋮ Common factors and spatial dependence: an application to US house prices ⋮ Determination of different types of fixed effects in three-dimensional panels* ⋮ Time varying factor models with possibly strongly correlated noises ⋮ QML estimation of dynamic panel data models with spatial errors ⋮ Cross-sectional averages versus principal components ⋮ The effect of recursive detrending on panel unit root tests ⋮ IV estimation of panels with factor residuals ⋮ Estimation of factor-augmented panel regressions with weakly influential factors ⋮ Testing for sphericity in a two-way error components panel data model ⋮ Testing for individual and time effects in panel data models with interactive effects ⋮ Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence ⋮ Specification test for panel data models with interactive fixed effects ⋮ Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures ⋮ Panel data nowcasting ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components ⋮ Semiparametric single-index panel data models with cross-sectional dependence ⋮ Parametric estimation of long memory in factor models ⋮ Binary response models for heterogeneous panel data with interactive fixed effects ⋮ Likelihood approach to dynamic panel models with interactive effects ⋮ Cross-section bootstrap for CCE regressions ⋮ Unveiling the Determinants of Saving-Consumption Relationship: A Panel Data Approach ⋮ A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR ⋮ Forward detrending for heteroskedasticity-robust panel unit root testing ⋮ Sectoral exchange rate pass-through to manufacturing prices: a GVAR approach ⋮ Robust Estimation of Large Panels with Factor Structures ⋮ Simultaneous Spatial Panel Data Models with Common Shocks ⋮ We modeled long memory with just one lag! ⋮ Bridging factor and sparse models ⋮ Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19 ⋮ Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed ⋮ A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity ⋮ Rank-based max-sum tests for mutual independence of high-dimensional random vectors
