A bootstrap procedure for panel data sets with many cross-sectional units
From MaRDI portal
Publication:3521281
DOI10.1111/j.1368-423X.2008.00243.xzbMath1141.91639MaRDI QIDQ3521281
Publication date: 21 August 2008
Published in: Econometrics Journal (Search for Journal in Brave)
62P20: Applications of statistics to economics
91B82: Statistical methods; economic indices and measures
Related Items
Toward robust early-warning models: a horse race, ensembles and model uncertainty, Volatility modeling and prediction: the role of price impact, Maximum likelihood estimation of dynamic panel threshold models, Cross-sectional dependence robust block bootstrap panel unit root tests, Tests for skewness and kurtosis in the one-way error component model, Improved inference in the evaluation of mutual fund performance using panel bootstrap methods, Bootstrap inference for linear dynamic panel data models with individual fixed effects, Estimation in partially linear time-varying coefficients panel data models with fixed effects, On bootstrapping panel factor series, Inference in semi-parametric spline mixed models for longitudinal data, General framework and model building in the class of hidden mixture transition distribution models, Robust linear static panel data models using \(\varepsilon\)-contamination, Alternative approaches for econometric modeling of panel data using mixture distributions, On the robustness of the pooled CCE estimator, Adaptive expectations and commodity risk premiums, Exploiting ergodicity in forecasts of corporate profitability, Exponent of cross-sectional dependence for residuals, An incidental parameters free inference approach for panels with common shocks
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Resampling methods for dependent data
- Stochastic Limit Theory
- Linear Regression Limit Theory for Nonstationary Panel Data
- Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
- Determining the Number of Factors in Approximate Factor Models
- Microeconometrics
- The bootstrap and Edgeworth expansion