This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data … cross section averages must be included in individual equations of the panel, and the number of cross section averages must … dimension of the panel is sufficiently large. …