Efficiency in large dynamic panel models with common factors

DOI10.1017/S0266466614000024zbMath1314.62203MaRDI QIDQ6486642

Christian Gouriéroux, Patrick Gagliardini

Publication date: 14 November 2014

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Credit risk (91G40)

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