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A lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model under misspecification
Zhou, Xingwu; Solberger, Martin - 2013
Persistent link: https://www.econbiz.de/10010199465
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Maximum likelihood estimation in panels with incidental trends
Moon, Hyungsik Roger; Phillips, Peter C. B. - In: Oxford bulletin of economics and statistics 61 (1999) 4,Suppl., pp. 711-747
Persistent link: https://www.econbiz.de/10001437552
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Fixed-effects dynamic spatial panel data models and impulse response analysis
Li, Kunpeng - In: Journal of econometrics 198 (2017) 1, pp. 102-121
Persistent link: https://www.econbiz.de/10011818371
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Robustness and the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting
Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - In: International journal of forecasting 37 (2021) 4, pp. 1520-1534
Persistent link: https://www.econbiz.de/10013274311
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Using the "Chandrasekhar Recursions" for likelihood evaluation of DSGE models
Herbst, Edward P. - In: Computational economics 45 (2015) 4, pp. 693-705
Persistent link: https://www.econbiz.de/10011440987
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Robust parameter design based on Gaussian process with model uncertainty
Feng, Zebiao; Wang, Jianjun; Ma, Yizhong; Tu, Yiliu - In: International journal of production research 59 (2021) 9, pp. 2772-2788
Persistent link: https://www.econbiz.de/10012516258
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Dynamic factor analysis in the presence of missing data
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2011
This paper concerns estimating parameters in a high-dimensional dynamic factormodel by the method of maximum likelihood. To accommodate missing data in theanalysis, we propose a new model representation for the dynamic factor model. Itallows the Kalman filter and related smoothing methods to...
Persistent link: https://www.econbiz.de/10011377572
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Dynamic models for panel data : methods and applications
Raknerud, Arvid - 1999
Persistent link: https://www.econbiz.de/10001421784
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Heterocedasticity robust panel unit root tests
Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 112-135
Persistent link: https://www.econbiz.de/10010380473
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Nonstationary-volatility robust panel unit root tests and the great moderation
Hanck, Christoph; Czudaj, Robert - 2013
This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the "Great Moderation". It also proposes a new testing approach for panel …
Persistent link: https://www.econbiz.de/10009779045