A nonlinear panel data model of cross-sectional dependence
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Publication:469559
DOI10.1016/j.jeconom.2014.01.002zbMath1298.62153MaRDI QIDQ469559
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
clustering; Monte Carlo simulations; factor models; nonlinear panel data model; application to stock returns and inflation; cross-section dependence
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J02: General nonlinear regression