Estimating cointegrated panels with common factors and the forwrd rate unbiasedness hypothesis
Year of publication: |
2007
|
---|---|
Authors: | Westerlund, Joakim |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 5.2007, 3, p. 491-522
|
Subject: | Panel | Panel study | Schätztheorie | Estimation theory | Kointegration | Cointegration | Theorie | Theory |
-
On the estimation and inference of a panel cointegration model with cross-sectional dependence
Bai, Jushan, (2006)
-
Estimation of higher-order spatial autoregressive panel data error component models
Badinger, Harald, (2009)
-
The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin, (2007)
- More ...
-
Common Breaks in Means for Cross‐Correlated Fixed‐ T Panel Data
Westerlund, Joakim, (2018)
-
On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects
Westerlund, Joakim, (2018)
-
A cross‐section average‐based principal components approach for fixed‐ T panels
Westerlund, Joakim, (2020)
- More ...