Efficiency in large dynamic panel models with common factors
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System
- A simplified approach to computing efficiency bounds in semiparametric models
- A third-order optimum property of the maximum likelihood estimator
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Asymptotic Properties of Non-Linear Least Squares Estimators
- Asymptotic efficiency in estimation with conditional moment restrictions
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Bias reduction for dynamic nonlinear panel models with fixed effects
- Consistent Estimates Based on Partially Consistent Observations
- Cross-Section Regression with Common Shocks
- Determining the Number of Factors in Approximate Factor Models
- Efficient semiparametric estimation of the Fama-French model and extensions
- Forecasting Using Principal Components From a Large Number of Predictors
- Indirect inference for dynamic panel models
- Inference in hidden Markov models.
- Jackknife and analytical bias reduction for nonlinear panel models.
- Large portfolio losses
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Likelihood-Based Estimation of Latent Generalized ARCH Structures
- Modelling panels of intercorrelated autoregressive time series
- On the computational complexity of MCMC-based estimators in large samples
- Quadratic stochastic intensity and prospective mortality tables
- Robust Priors in Nonlinear Panel Data Models
- Some contributions to the asymptotic theory of Bayes solutions
- The Stochastic Difference Between Econometric Statistics
- The incidental parameter problem since 1948
- The multi-state latent factor intensity model for credit rating transitions
- Uses of exchangeability
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