The factor analytical approach in trending near unit root panels

DOI10.1111/JTSA.12624MaRDI QIDQ5095296zbMATH OpenOpenAlexFDO

Authors Joakim Westerlund, Milda Norkutė, Ovidijus Stauskas

Publication date 8 August 2022

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12624

zbMATH Keywords

factor analytical methodHessianincidental trendsnear unit rootpanel

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx) Applications of statistics to economics (62P20)

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• Panel unit root tests under cross‐sectional dependence

Cites work

• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Estimation of autoregressive roots near unity using panel data
• Fixed-effects dynamic panel models, a factor analytical method
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data
• Incidental trends and the power of panel unit root tests
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• New tools for understanding the local asymptotic power of panel unit root tests
• Testing for a unit root in panels with dynamic factors
• The factor analytical approach in near unit root interactive effects panels

Cited in

(1)

• The factor analytical approach in near unit root interactive effects panels

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