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Hsiao, Cheng - 2003 - 2. ed.

Persistent link: https://www.econbiz.de/10001700947

Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2009

of the factors. We organize a panel of 447 series into blocks according to the timing of data releases and use a four … ; comovements ; large dimensional panel ; diffusion index …

Persistent link: https://www.econbiz.de/10003948200

Stationarity properties of individual series in a panel

Moon, Hyungsik Roger; Perron, Benoit - 2009

Persistent link: https://www.econbiz.de/10003997384

Dynamic hierarchical factor models

Mönch, Emanuel; Ng, Serena; Potter, Simon M. - In: The review of economics and statistics 95 (2013) 5, pp. 1811-1817

Persistent link: https://www.econbiz.de/10010350633

Dynamic Hierarchical Factor Models

Moench, Emanuel; Ng, Serena; Potter, Simon - 2011

four-level model is estimated to study block- and aggregate-level dynamics in a panel of 445 series related to different …

Persistent link: https://www.econbiz.de/10014199839

Beyond Panel Unit Root Tests : Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel

Moon, Hyungsik Roger; Perron, Benoit - 2011

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in … a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and …

Persistent link: https://www.econbiz.de/10014185969