Inference on factor structures in heterogeneous panels

DOI10.1016/J.JECONOM.2014.08.004zbMATH Open1332.62314OpenAlexW2131982933MaRDI QIDQ473358FDOQ473358

Authors: Carolina Castagnetti, Eduardo Rossi, Lorenzo Trapani 

Publication date: 24 November 2014

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/6104/1/CastagnettiRossiTrapani_Nov_2013.pdf

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zbMATH Keywords

extreme value distributionlarge panelsCCE estimatorprincipal component estimatortesting for factor structure

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cites Work

• Inferential Theory for Factor Models of Large Dimensions
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• Bootstrap confidence intervals and hypothesis tests for extrema of parameters
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• A dynamic factor approach to mortality modeling
• Testing for no factor structures: on the use of Hausman-type statistics

Cited In (24)

• Efficient estimation of heterogeneous coefficients in panel data models with common shocks
• Detecting granular time series in large panels
• Inferential theory for heterogeneity and cointegration in large panels
• Simultaneous Spatial Panel Data Models with Common Shocks
• Inference in group factor models with an application to mixed-frequency data
• Evaluating latent and observed factors in macroeconomics and finance
• Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures
• Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
• Title not available (Why is that?)
• A randomized sequential procedure to determine the number of factors
• Panel threshold models with interactive fixed effects
• Structure identification in panel data analysis
• On the estimation and inference in factor-augmented panel regressions with correlated loadings
• Tests for the explanatory power of latent factors
• Heterogeneous structural breaks in panel data models
• Factor dimension determination for panel interactive effects models: an orthogonal projection approach
• Hausman-type tests for individual and time effects in the panel regression model with incomplete data
• Panel data models with cross-sectional dependence: a selective review
• Testing for no factor structures: on the use of Hausman-type statistics
• A CUSUM test for common trends in large heterogeneous panels
• First-differenced inference for panel factor series
• Testing for time-varying factor loadings in high-dimensional factor models
• Testing for the null of block zero restrictions in common factor models
• A diagnostic criterion for approximate factor structure

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