Panel vector autoregression under cross-sectional dependence

DOI10.1111/J.1368-423X.2008.00240.XMaRDI QIDQ3521272zbMATHOpenAlexFDO

Authors Xiao Huang

Publication date 21 August 2008

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2008.00240.x

zbMATH Keywords

factor analysispanel dataVARCross-sectional dependence

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Statistical methods; economic indices and measures (91B82)

Recommendations

• Improved GMM estimation of panel VAR models
• Large panels with common factors and spatial correlation
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Panel Cointegration Rank Testing with Cross-Section Dependence
• Weak and strong cross-section dependence and estimation of large panels

Cites work

• scientific article; zbMATH DE number 1911755 (Why is no real title available?)
• A PANIC attack on unit roots and cointegration.
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• Bootstrap unit root tests in panels with cross-sectional dependency
• Cross-Section Regression with Common Shocks
• Dynamic panel estimation and homogeneity testing under cross section dependence
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Estimating cross-section common stochastic trends in nonstationary panel data
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Forecasting Using Principal Components From a Large Number of Predictors
• Fully Modified Least Squares and Vector Autoregression
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• ON THE ROBUSTNESS OF HYPOTHESIS TESTING BASED ON FULLY MODIFIED VECTOR AUTOREGRESSION WHEN SOME ROOTS ARE ALMOST ONE
• Statistical analysis of cointegration vectors
• Testing for a unit root in panels with dynamic factors
• Vector autoregressions with unknown mixtures of \(I(0)\), \(I(1)\), and \(I(2)\) components

Cited in

(13)

• Nonparametric estimation in large panels with cross-sectional dependence
• Prior selection for panel vector autoregressions
• Estimating Vector Autoregressions with Panel Data
• Improved GMM estimation of panel VAR models
• Panel vector autoregressive models: a survey
• Cross-Sectional Dependence in Panel Data Analysis
• First difference transformation in panel VAR models: robustness, estimation, and inference
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• A note on parameter estimation of panel vector autoregressive models with intercorrelation
• Cross-sectional averages versus principal components
• Estimation of fractionally integrated panels with fixed effects and cross-section dependence
• Challenges for panel financial analysis
• Panel data models with cross-sectional dependence: a selective review

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