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Exponent of cross-sectional dependence for residuals
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018
In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel …
Persistent link: https://www.econbiz.de/10011900761
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Exponent of cross-sectional dependence for residuals
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018
Persistent link: https://www.econbiz.de/10012583496
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Factor Analysis Using Subspace Factor Models : Some Theoretical Results and an Application to UK Inflation Forecasting
Kapetanios, George - 2003
Recent work in the macroeconometric literature considers the problem of summarising efficiently a large set of variables and using this summary for a variety of purposes including forecasting. Work in this field has been carried out in a series of recent papers. This paper provides an...
Persistent link: https://www.econbiz.de/10014099165
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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
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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
Persistent link: https://www.econbiz.de/10002808264
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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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Panels with non-stationary multifactor error structures
Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - In: Journal of econometrics 160 (2011) 2, pp. 326-348
Persistent link: https://www.econbiz.de/10009242244
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A testing procedure for determining the number of factors in approximate factor models with large datasets
Kapetanios, George - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 397-409
Persistent link: https://www.econbiz.de/10008736170
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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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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003360302