Estimation of fractionally integrated panels with fixed effects and cross-section dependence
DOI10.1016/J.JECONOM.2016.05.020zbMATH Open1403.62161OpenAlexW2278398173MaRDI QIDQ503560FDOQ503560
Authors: Yunus Emre Ergemen, Carlos I. Hoyos Velasco 
Publication date: 13 January 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/25234
Recommendations
- Efficient inference on fractionally integrated panel data models with fixed effects
- Persistence heterogeneity testing in panels with interactive fixed effects
- Large panels with common factors and spatial correlation
- Panel vector autoregression under cross-sectional dependence
- Weak and strong cross-section dependence and estimation of large panels
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Panels with non-stationary multifactor error structures
- Panel data models with interactive fixed effects
- Testing for a unit root in panels with dynamic factors
- Panel unit root tests with cross-section dependence: a further investigation
- A PANIC attack on unit roots and cointegration.
- Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
- Gaussian semiparametric estimation of long range dependence
- Long memory processes and fractional integration in econometrics
- Cointegration in Fractional Systems with Unknown Integration Orders
- ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
- Long memory relationships and the aggregation of dynamic models
- Time series regression with long-range dependence
- Title not available (Why is that?)
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- Efficient inference on fractionally integrated panel data models with fixed effects
- Gaussian pseudo-maximum likelihood estimation of fractional time series models
- What does financial volatility tell us about macroeconomic fluctuations?
- Asymptotic normal tests for integration in panels with cross-dependent units
Cited In (10)
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Homogeneity tests for one-way models with dependent errors under correlated groups
- The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
- Inference on trending panel data
- Parametric estimation of long memory in factor models
- Estimation of a level shift in panel data with fractionally integrated errors
- Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects
- Efficient inference on fractionally integrated panel data models with fixed effects
- Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction
This page was built for publication: Estimation of fractionally integrated panels with fixed effects and cross-section dependence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q503560)
