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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

Estimation and inference in large heterogenous panels with cross section dependence

Pesaran, M. Hashem - 2003

This paper presents a new approach to estimation and inference in panel data models with unobserved common factors possibly correlated with exogenously given individual-specific regressors and/or the observed common effects. The basic idea behind the proposed estimation procedure is to filter...

Persistent link: https://www.econbiz.de/10011505911

Estimation of a simple class of multivariate rational expectations models : a test of the new classical model at a sectoral level

Pesaran, M. Hashem - 1989 - rev. version

Persistent link: https://www.econbiz.de/10000127652

A generalised R 2 criterion for regression models estimated by the instrumental variable method

Pesaran, M. Hashem - 1992

Persistent link: https://www.econbiz.de/10000137152

Estimation and inference in large heterogeneous panels with a multifactor error structure

Pesaran, M. Hashem (contributor) - 2004

This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure where the unobserved common factors are (possibly) correlated with exogenously given individual-specific regressors, and the factor loadings differ over the cross section units....