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Consistent Estimation of Panel Data Models with a Multifactor Error Structure when the Cross Section Dimension is Large

Peng, Bin; Forchini, Giovanni - Economics Discipline Group, Business School - 2014

The paper studies a panel data models with a multifactor structure in both the errors and the regressors in a microeconometric setting in which the time dimension is fixed and possibly very small. An estimator is proposed that is consistent for fixed T as N tends to infinity and that does not...

Persistent link: https://www.econbiz.de/10010752834

Optimal weighted average power similar tests for the covariance structure in the linear regression model

Forchini, Giovanni - In: Journal of econometrics 124 (2005) 2, pp. 253-268

Persistent link: https://www.econbiz.de/10006749138

THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION

Forchini, Giovanni - In: Econometric theory 26 (2010) 3, pp. 917-931

Persistent link: https://www.econbiz.de/10008415351

A characterization of invariant tests for identification in linear structural equations

Forchini, Giovanni - In: Economics letters 98 (2008) 2, pp. 185-193

Persistent link: https://www.econbiz.de/10007893853

The exact distribution of the TSLS estimator for a non-Gaussian just-identified linear structural equation

Forchini, Giovanni - In: Economics letters 95 (2007) 1, pp. 117-123

Persistent link: https://www.econbiz.de/10007612722

CONDITIONAL INFERENCE FOR POSSIBLY UNIDENTIFIED STRUCTURAL EQUATIONS

Forchini, Giovanni; Hillier, Grant - In: Econometric theory 19 (2003) 5, pp. 707-743

Persistent link: https://www.econbiz.de/10006967474

WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL

Forchini, Giovanni - In: Econometric theory 24 (2008) 5, pp. 1277-1290

Persistent link: https://www.econbiz.de/10008088974

A characterization of invariant tests for identification in linear structural equations

Forchini, Giovanni - In: Economics letters 98 (2008) 2, pp. 185-194

Persistent link: https://www.econbiz.de/10008880562

The asymptotic distribution of Nagar's bias-adjusted TSLS estimator under partial identification

Forchini, Giovanni - In: Economics letters 105 (2009) 1, pp. 49-53

Persistent link: https://www.econbiz.de/10008895742

The asymptotic distribution of Nagar's bias-adjusted TSLS estimator under partial identification

Forchini, Giovanni - In: Economics letters 105 (2009) 1, pp. 49-52

Persistent link: https://www.econbiz.de/10008306688

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