Efficiency in large dynamic panel models with common factors

DOI10.1017/S0266466614000024zbMATH Open1314.62203OpenAlexW3121319442MaRDI QIDQ6486642FDOQ6486642

Authors: Patrick Gagliardini, Christian Gouriéroux 

Publication date: 14 November 2014

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

Full work available at URL: https://doi.org/10.1017/s0266466614000024

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Mathematics Subject Classification ID

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

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