Asymptotics for panel models with common shocks
DOI10.1080/07474938.2011.607991zbMATH Open1491.62103OpenAlexW2151647121MaRDI QIDQ5080153FDOQ5080153
Authors: Chihwa Kao, Lorenzo Trapani, Giovanni Urga 
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/6113/1/KaoTrapaniUrga3R.pdf
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asymptoticspanel datacross-sectional dependencemartingale difference sequencecommon shocksjoint limit
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- Linear Regression Limit Theory for Nonstationary Panel Data
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- Panels with non-stationary multifactor error structures
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- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Cross-Section Regression with Common Shocks
- Transition Modeling and Econometric Convergence Tests
- Spurious regression and residual-based tests for cointegration in panel data
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Estimating cross-section common stochastic trends in nonstationary panel data
- Panel cointegration with global stochastic trends
- Common failings: how corporate defaults are correlated
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Cited In (11)
- Inferences in panel data with interactive effects using large covariance matrices
- On estimation and inference in heterogeneous panel regressions with interactive effects
- Cross-Section Regression with Common Shocks
- Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
- Model-free classification of panel data via the \(\epsilon\)-complexity theory
- An incidental parameters free inference approach for panels with common shocks
- Limit theory for panel data models with cross sectional dependence and sequential exogeneity
- On bootstrapping panel factor series
- Asymptotic distribution of factor augmented estimators for panel regression
- EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS
- Structural breaks in panel data: large number of panels and short length time series
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