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Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808714
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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
The tensions between books and book markets as expressions of culture and books as products in profit-making businesses are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for books through laws concerning prices of books, grants...
Persistent link: https://www.econbiz.de/10002734112
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Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure
Kapetanios, George - 2019
, we develop three dimensional (3D) panel data models with hierarchical error components that allow for strong cross … simulation studies. We also demonstrate the empirical usefulness of the proposed approach through an application to a 3D panel …
Persistent link: https://www.econbiz.de/10012868664
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Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
Kapetanios, George; Serlenga, Laura; Shin, Yongcheol - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 2611-2659
Persistent link: https://www.econbiz.de/10014329005
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Mean group instrumental variable estimation of time-varying large heterogenous panels with endogenous regressors
Bai, Yu; Marcellino, Massimiliano; Kapetanios, George - 2023
Persistent link: https://www.econbiz.de/10014452530
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An LM test for the conditional independence between regressors and factor loadings in panel data models with interactive effects
Kapetanios, George; Serlenga, Laura; Shin, Yongcheol - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 743-761
Persistent link: https://www.econbiz.de/10015053450
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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …
Persistent link: https://www.econbiz.de/10003355571
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A nonlinear panel data model of cross-sectional dependence
Mitchell, James; Kapetanios, George; Shin, Yongcheol - 2012
Persistent link: https://www.econbiz.de/10009545977
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A nonlinear panel data model of cross-sectional dependence
Kapetanios, George; Mitchell, James; Shin, Yongcheol - 2010
Persistent link: https://www.econbiz.de/10008748459
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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003360302