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

DOI10.1080/03610926.2017.1295156MaRDI QIDQ4606463zbMATH OpenOpenAlexFDO

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

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)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• scientific article; zbMATH DE number 2188569 (Why is no real title available?)
• scientific article; zbMATH DE number 3227597 (Why is no real title available?)
• An introduction to the theory of point processes
• Conditional central limit theorems for a sequence of conditional independent random variables
• Conditional independence, conditional mixing and conditional association
• Cross-Section Regression with Common Shocks
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Limit theory for panel data models with cross sectional dependence and sequential exogeneity
• Necessary and sufficient conditions for the conditional central limit theorem
• On mixing and stability of limit theorems
• Some theorems on conditional mean convergence and conditional almost sure convergence for randomly weighted sums of dependent random variables

Cited in

(1)

• First-differenced inference for panel factor series

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