Panels with non-stationary multifactor error structures
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Publication:737289
DOI10.1016/j.jeconom.2010.10.001zbMath1441.62767MaRDI QIDQ737289
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
62P20: Applications of statistics to economics
62H25: Factor analysis and principal components; correspondence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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