Panel vector autoregression under cross-sectional dependence
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Publication:3521272
DOI10.1111/J.1368-423X.2008.00240.XzbMATH Open1141.91638OpenAlexW2038275129MaRDI QIDQ3521272FDOQ3521272
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
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
Factor analysis and principal components; correspondence analysis (62H25) Statistical methods; economic indices and measures (91B82)
Cites Work
- Forecasting Using Principal Components From a Large Number of Predictors
- Title not available (Why is that?)
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Bootstrap unit root tests in panels with cross-sectional dependency
- Testing for a unit root in panels with dynamic factors
- A PANIC attack on unit roots and cointegration.
- Dynamic panel estimation and homogeneity testing under cross section dependence
- Statistical analysis of cointegration vectors
- Fully Modified Least Squares and Vector Autoregression
- Nonlinear IV unit root tests in panels with cross-sectional dependency.
- Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
- Cross-Section Regression with Common Shocks
- ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
- Estimating cross-section common stochastic trends in nonstationary panel data
- Vector autoregressions with unknown mixtures of \(I(0)\), \(I(1)\), and \(I(2)\) components
- ON THE ROBUSTNESS OF HYPOTHESIS TESTING BASED ON FULLY MODIFIED VECTOR AUTOREGRESSION WHEN SOME ROOTS ARE ALMOST ONE
Cited In (13)
- A note on parameter estimation of panel vector autoregressive models with intercorrelation
- Challenges for panel financial analysis
- Panel vector autoregressive models: a survey
- Cross-sectional averages versus principal components
- First difference transformation in panel VAR models: robustness, estimation, and inference
- Improved GMM estimation of panel VAR models
- Cross-Sectional Dependence in Panel Data Analysis
- Prior selection for panel vector autoregressions
- Panel data models with cross-sectional dependence: a selective review
- Estimating Vector Autoregressions with Panel Data
- Estimation of fractionally integrated panels with fixed effects and cross-section dependence
- Nonparametric estimation in large panels with cross-sectional dependence
- ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
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