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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; Pesaran, Mohammad Hashem - 2005
problems for estimation and inference. This paper compares two alternative methods for carrying out estimation and inference in … application to company returns provides an illustration of the alternative estimation procedures. …
Persistent link: https://www.econbiz.de/10010276160
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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/10010280808