This paper considers multiple changes in the factor loadings of a high dimensional factor model occurring at dates that are unknown but common to all subjects. Since the factors are unobservable, the problem is converted to estimating and testing structural changes in the second moments of the...

With this piece of evidence, I try to shed light upon the effects of fixed and variable costs on revenues for four firms operating in the sectors of lathing and milling, packaging machine construction, mechanical component production and shoe parts building, all four in the vicinity of Bologna,...

The aim of this study is to analyse trade between the member countries of the West African Economic and Monetary Union (WAEMU) and those of the European Union (EU) pre-Brexit over the period 2014-2019. It estimates a gravity model based on panel data. Three econometric estimation techniques are...

I consider a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a spatial autoregressive process. I propose a three-step estimation procedure. Its first step is an instrumental variable estimation that ignores the spatial correlation. In the...

Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

We propose a generalized method of moment (GMM) estimator of the number of latent factors in linear factor models. The method is appropriate for panels a large (small) number of cross-section observations and a small (large) number of time-series observations. It is robust to heteroskedasticity...

This paper examines the panel data models when the regression coefficients are fixed, random, and mixed, and proposed the different estimators for this model. We used the Mote Carlo simulation for making comparisons between the behavior of several estimation methods, such as Random Coefficient...

This paper proposes a new panel unit root test based on the generalized method of moments approach for panels with a small number of time periods and a large number of cross-section units, N. In the model that we consider the deterministic trend function is essentially unrestricted and the...

Conventional threshold models contain only one threshold variable. This paper provides the theoretical foundation for threshold models with multiple threshold variables. The new model is very different from a model with a single threshold variable as several novel problems arisefrom having an...