First-differenced inference for panel factor series

DOI10.1016/J.ECONLET.2012.11.026zbMATH Open1268.91143OpenAlexW2095429829MaRDI QIDQ356606FDOQ356606

Authors: Ekaterina Ipatova, Lorenzo Trapani 

Publication date: 26 July 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/6107/1/IpatovaTrapani.pdf

Recommendations

• Inference on factor structures in heterogeneous panels
• Panels with non-stationary multifactor error structures
• 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
• First-differencing in panel data models with incidental functions
• Asymptotic distribution of factor augmented estimators for panel regression

zbMATH Keywords

common factorscommon componentsfirst differencesnon-stationary panels

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Inferential Theory for Factor Models of Large Dimensions
• Estimating cross-section common stochastic trends in nonstationary panel data
• On bootstrapping panel factor series

Cited In (3)

• 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
• Unified inference for nonlinear factor models from panels with fixed and large time span
• First-differencing in panel data models with incidental functions

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