Regime switching panel data models with interactive fixed effects

DOI10.1016/j.econlet.2019.01.024zbMath1416.62599OpenAlexW2908690076WikidataQ128484277 ScholiaQ128484277MaRDI QIDQ1738414

Tingting Cheng, Yayi Yan, J. T. Gao

Publication date: 18 April 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.01.024

zbMATH Keywords

maximum likelihood estimationregime switchingECM algorithminteractive effect

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Point estimation (62F10)

Cites Work

• Estimation of Markov regime-switching regression models with endogenous switching
• A new approach to model regime switching
• Statistical analysis of factor models of high dimension
• Analysis of time series subject to changes in regime
• Dynamic linear models with Markov-switching
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Theory and methods of panel data models with interactive effects
• Measuring business cycle turning points in Japan with the Markov Switching Panel model
• DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
• Panel Data Models With Interactive Fixed Effects
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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