Estimation of fractionally integrated panels with fixed effects and cross-section dependence

DOI10.1016/J.JECONOM.2016.05.020MaRDI QIDQ503560zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

factor modelsfractional cointegrationlong memoryrealized volatility

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3609018 (Why is no real title available?)
• A PANIC attack on unit roots and cointegration.
• Asymptotic normal tests for integration in panels with cross-dependent units
• Cointegration in Fractional Systems with Unknown Integration Orders
• Efficient inference on fractionally integrated panel data models with fixed effects
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• Gaussian semiparametric estimation of long range dependence
• Linear regression for panel with unknown number of factors as interactive fixed effects
• Long memory processes and fractional integration in econometrics
• Long memory relationships and the aggregation of dynamic models
• Panel data models with interactive fixed effects
• Panel unit root tests with cross-section dependence: a further investigation
• Panels with non-stationary multifactor error structures
• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
• Testing for a unit root in panels with dynamic factors
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Time series regression with long-range dependence
• What does financial volatility tell us about macroeconomic fluctuations?

Cited in

(10)

• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
• Persistence heterogeneity testing in panels with interactive fixed effects
• Special Issue of the \textit{Journal of Time Series Analysis} in honour of the 35th anniversary of the publication of Geweke and Porter-Hudak (1983): guest editors' introduction
• 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
• Efficient inference on fractionally integrated panel data models with fixed effects

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