Panels with non-stationary multifactor error structures

DOI10.1016/J.JECONOM.2010.10.001zbMATH Open1441.62767OpenAlexW2110842229MaRDI QIDQ737289FDOQ737289

Authors: M. Hashem Pesaran, Takashi Yamagata, George Kapetanios 

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.10.001

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zbMATH Keywords

principal componentsunit rootslarge panelscross-section dependencecommon correlated effects

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Linear Regression Limit Theory for Nonstationary Panel Data
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Weak and strong cross-section dependence and estimation of large panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Estimating long-run relationships from dynamic heterogeneous panels
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Rao's score test in spatial econometrics
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Panel cointegration with global stochastic trends
• Forecasting in dynamic factor models subject to structural instability

Cited In (55)

• A bias-corrected Srivastava-type test for cross-sectional independence
• Weak and strong cross-section dependence and estimation of large panels
• System Estimation of Panel Data Models Under Long-Range Dependence
• Dynamic linear panel regression models with interactive fixed effects
• Modified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is small
• Efficient estimation of heterogeneous coefficients in panel data models with common shocks
• Inferential theory for heterogeneity and cointegration in large panels
• On the robustness of the pooled CCE estimator
• Deconvolution from panel data with unknown error distribution
• Semi-parametric single-index panel data models with interactive fixed effects: theory and practice
• Real exchange rates and the balance of trade: does the J-curve effect really hold?
• Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
• The performance of panel cointegration methods: results from a large scale simulation study
• Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
• A method to evaluate the rank condition for CCE estimators
• Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
• Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
• Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
• Common factors and spatial dependence: an application to US house prices
• Recursive estimation in large panel data models: theory and practice
• Nonstationary panels, panel cointegration, and dynamic panels
• Asymptotics for panel models with common shocks
• On the estimation and inference in factor-augmented panel regressions with correlated loadings
• Size, openness, and macroeconomic interdependence
• Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Testing for Common Trends in Nonstationary Large Datasets
• Fixed T dynamic panel data estimators with multifactor errors
• Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
• Cross-Sectional Dependence in Panel Data Analysis
• The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
• An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
• Integration of north and south American players in Japan's professional baseball leagues
• Sieve bootstrapt-tests on long-run average parameters
• Identifying latent grouped patterns in panel data models with interactive fixed effects
• Real exchange rate misalignments in the euro area
• On the asymptotic \(t\)-test for large nonstationary panel models
• Panel data models with cross-sectional dependence: a selective review
• Panel regression with multiplicative measurement errors
• Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model
• An alternative semiparametric model for spatial panel data
• Estimation of a level shift in panel data with fractionally integrated errors
• Panel unit root tests in the presence of a multifactor error structure
• Large panels with common factors and spatial correlation
• First-differenced inference for panel factor series
• Testing for panel cointegration using common correlated effects estimators
• Instrumental variables estimation in large heterogeneous panels with multifactor structure
• Estimation of fractionally integrated panels with fixed effects and cross-section dependence
• On the role of the rank condition in CCE estimation of factor-augmented panel regressions
• The long-run determinants of fertility: one century of demographic change 1900--1999
• Estimation of heterogeneous panels with structural breaks
• Estimation of partially linear panel data models with cross-sectional dependence
• A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
• Cross-section bootstrap for CCE regressions
• A spatio-temporal model of house prices in the USA

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