A nonlinear panel data model of cross-sectional dependence

DOI10.1016/j.jeconom.2014.01.002zbMath1298.62153OpenAlexW2126685229MaRDI QIDQ469559

J. Herrera, Sumit K. Garg

Publication date: 11 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://warwick.ac.uk/fac/soc/wbs/subjects/emf/research/papers/a_nonlinear_panel_data_model_of_cross-sectional_dependence.pdf

zbMATH Keywords

clusteringMonte Carlo simulationsfactor modelsnonlinear panel data modelapplication to stock returns and inflationcross-section dependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items (7)

Threshold models in time series analysis -- some reflections ⋮ Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels ⋮ Spatial autoregressions with an extended parameter space and similarity-based weights ⋮ Inference in a similarity-based spatial autoregressive model ⋮ A new stochastic frontier model with cross-sectional effects in both noise and inefficiency terms ⋮ Similarity-based model for ordered categorical data ⋮ Generalised density forecast combinations

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