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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …

Persistent link: https://www.econbiz.de/10002734112

Structural analysis with Multivariate Autoregressive Index models

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of econometrics 192 (2016) 2, pp. 332-348

Persistent link: https://www.econbiz.de/10011704654

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009488893

Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure

Kapetanios, George; Serlenga, Laura; Shin, Yongcheol - In: Journal of econometrics 220 (2021) 2, pp. 504-531

Persistent link: https://www.econbiz.de/10012618527

Detection of units with pervasive effects in large panel data models

Kapetanios, George; Pesaran, M. Hashem; Reese, S. - In: Journal of econometrics 221 (2021) 2, pp. 510-541

Persistent link: https://www.econbiz.de/10012619248