On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects

DOI10.1111/JTSA.12432zbMath1433.62271OpenAlexW2896838204MaRDI QIDQ5237534

Joakim Westerlund

Publication date: 18 October 2019

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

Full work available at URL: https://doi.org/10.1111/jtsa.12432

zbMATH Keywords

consistencyasymptotic normalitycentral limit theoremmartingaleparameter heterogeneityCCEcommon correlated effects (CCE) estimatorinteractive effects models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (1)

Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19

Cites Work

• On the estimation and inference in factor-augmented panel regressions with correlated loadings
• Weak and strong cross‐section dependence and estimation of large panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
• Asymptotics for Panel Models with Common Shocks
• Panel Data Models With Interactive Fixed Effects
• Determining the Number of Factors in Approximate Factor Models

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