Recursive estimation in large panel data models: theory and practice

DOI10.1016/J.JECONOM.2020.07.055MaRDI QIDQ2236876zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 26 October 2021

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

Full work available at URL http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp05-17.pdf

zbMATH Keywords

factor modelnonlinear optimizationmultiplicative structureinitial estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A simple iterative Z-estimator for semiparametric models
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• Estimation of latent factors for high-dimensional time series
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
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• Maximization by Parts in Likelihood Inference
• Nonlinear Time Series
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric estimation in large panels with cross-sectional dependence
• Panel data models with interactive fixed effects
• Panel data models with spatially correlated error components
• Panels with non-stationary multifactor error structures
• SOME CONVERGENCE THEORY FOR ITERATIVE ESTIMATION PROCEDURES WITH AN APPLICATION TO SEMIPARAMETRIC ESTIMATION
• Semiparametric single-index panel data models with cross-sectional dependence
• Semiparametric trending panel data models with cross-sectional dependence
• Sieve estimation of panel data models with cross section dependence
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• Specification test for panel data models with interactive fixed effects
• Theory and methods of panel data models with interactive effects
• Weak and strong cross-section dependence and estimation of large panels

Cited in

(6)

• Binary response models for heterogeneous panel data with interactive fixed effects
• Factor-augmented Model for Functional Data
• Implicit profiling estimation for semiparametric models with bundled parameters
• scientific article; zbMATH DE number 7370530 (Why is no real title available?)
• Profile GMM estimation of panel data models with interactive fixed effects
• On the two algorithms for estimating interactive fixed effects models in Bai (2009)

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