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

DOI10.1080/03610926.2017.1295156zbMATH Open1408.62176OpenAlexW2590888873MaRDI QIDQ4606463FDOQ4606463

Authors: Giovanni Forchini, Bin Peng 

Publication date: 7 March 2018

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1295156

Recommendations

• Relative efficiency of first difference estimator in panel data regression with serially correlated error components
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Dynamic panel data methods and practice
• Panels with non-stationary multifactor error structures
• First-differenced inference for panel factor series

zbMATH Keywords

panel datacommon shocksfactors

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Title not available (Why is that?)
• An introduction to the theory of point processes
• Some theorems on conditional mean convergence and conditional almost sure convergence for randomly weighted sums of dependent random variables
• Title not available (Why is that?)
• Limit theory for panel data models with cross sectional dependence and sequential exogeneity
• Cross-Section Regression with Common Shocks
• On mixing and stability of limit theorems
• Title not available (Why is that?)
• Conditional independence, conditional mixing and conditional association
• Conditional central limit theorems for a sequence of conditional independent random variables
• Necessary and sufficient conditions for the conditional central limit theorem

Cited In (1)

• First-differenced inference for panel factor series

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