System Estimation of Panel Data Models Under Long-Range Dependence

DOI10.1080/07350015.2016.1255217zbMATH Open1548.62563MaRDI QIDQ6634835FDOQ6634835

Authors: Yunus Emre Ergemen 

Publication date: 8 November 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Weak and strong cross-section dependence and estimation of large panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Large panels with common factors and spatial correlation
• Panels with non-stationary multifactor error structures
• Panel data models with interactive fixed effects
• Efficient Tests of Nonstationary Hypotheses
• Cointegration in Fractional Systems with Unknown Integration Orders
• Long memory relationships and the aggregation of dynamic models
• Structural breaks with deterministic and stochastic trends
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Aggregation in large dynamic panels
• Efficient inference on fractionally integrated panel data models with fixed effects
• Asymptotic normal tests for integration in panels with cross-dependent units
• Regression-based analysis of cointegration systems
• Nonparametric cointegration analysis of fractional systems with unknown integration orders

Cited In (2)

• Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
• The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic

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