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Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model
Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - In: Econometric reviews 36 (2017) 6/9, pp. 853-882
Persistent link: https://www.econbiz.de/10011795516
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Inference on factor structures in heterogeneous panels
Castagnetti, Carolina; Rossi, Eduardo; Trapani, Lorenzo - In: Journal of econometrics 184 (2015) 1, pp. 145-157
Persistent link: https://www.econbiz.de/10011326797
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Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
Chudik, Alexander; Pesaran, M. Hashem - 2013
This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data … cross section averages must be included in individual equations of the panel, and the number of cross section averages must … dimension of the panel is sufficiently large. …
Persistent link: https://www.econbiz.de/10009743851
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Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
Pesaran, M. Hashem; Chudik, Alexander - 2013
Persistent link: https://www.econbiz.de/10009754530
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Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
Chudik, Alexander; Pesaran, M. Hashem - In: Journal of econometrics 188 (2015) 2, pp. 393-420
Persistent link: https://www.econbiz.de/10011503218
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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 …
Persistent link: https://www.econbiz.de/10011505911
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Inferential theory for heterogeneity and cointegration in large panels
Trapani, Lorenzo - In: Journal of econometrics 220 (2021) 2, pp. 474-503
Persistent link: https://www.econbiz.de/10012618525
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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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Interactive R&D spillovers : an estimation strategy based on forecasting-driven model selection
Gioldasis, Georgios; Musolesi, Antonio; Simioni, Michel - 2021
Persistent link: https://www.econbiz.de/10013170703
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On the robustness of the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting
Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - 2019
Persistent link: https://www.econbiz.de/10012179660