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Search: subject:"Multifactor error structure"
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Multifactor error structure
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Bias
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Common correlated effects
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Correlation
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Cross section dependence
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Dynamic panel bias
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Estimation theory
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Factor augmented regression
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Fisher inflation parity
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Panel unit root tests
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Real equity prices
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Everaert, Gerdie
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Pesaran, M. Hashem
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Vanessa Smith, L.
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Vos, Ignace de
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Yamagata, Takashi
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Journal of Econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Bias-corrected common correlated effects pooled estimation in dynamic panels
Vos, Ignace de
;
Everaert, Gerdie
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 294-306
Persistent link: https://www.econbiz.de/10012424521
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2
Panel unit root tests in the presence of a
multifactor
error
structure
Pesaran, M. Hashem
;
Vanessa Smith, L.
;
Yamagata, Takashi
- In:
Journal of Econometrics
175
(
2013
)
2
,
pp. 94-115
of a
multifactor
error
structure
, and proposes a new panel unit root test based on a simple average of cross …
Persistent link: https://www.econbiz.de/10011052269
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