Regime switching panel data models with interactive fixed effects

DOI10.1016/J.ECONLET.2019.01.024MaRDI QIDQ1738414zbMATH OpenOpenAlexWikidataFDO

Authors Tingting Cheng, Yayi Yan, Jiti Gao

Publication date 18 April 2019

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2019.01.024

zbMATH Keywords

maximum likelihood estimationregime switchingECM algorithminteractive effect

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A new approach to model regime switching
• Analysis of time series subject to changes in regime
• Determining the Number of Factors in Approximate Factor Models
• Dynamic linear models with Markov-switching
• Dynamic linear panel regression models with interactive fixed effects
• Estimation of Markov regime-switching regression models with endogenous switching
• Inferential Theory for Factor Models of Large Dimensions
• Linear regression for panel with unknown number of factors as interactive fixed effects
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Measuring business cycle turning points in Japan with the Markov Switching Panel model
• Panel data models with interactive fixed effects
• Statistical analysis of factor models of high dimension
• Theory and methods of panel data models with interactive effects
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

Cited in

(2)

• A generalized panel data switching regression model
• Conditions for swappability of records in a microdata set when some marginals are fixed

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