Estimating cross-section common stochastic trends in nonstationary panel data

DOI10.1016/j.jeconom.2003.10.022zbMath1282.91264OpenAlexW1989672512MaRDI QIDQ2439092

Jushan Bai

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.10.022

zbMATH Keywords

dynamic factorsprincipal componentsgeneralized dynamic factor modelscommon-stochastic trendsnonstationary panel data

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

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• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• Testing for a unit root in panels with dynamic factors
• Testing for Common Trends
• Estimating Regression Models of Finite but Unknown Order
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Asymptotic Theory for Principal Component Analysis

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