The factor analytical approach in near unit root interactive effects panels
DOI10.1016/j.jeconom.2020.03.017zbMath1471.62473OpenAlexW3069694875MaRDI QIDQ2658760
Joakim Westerlund, Milda Norkutė
Publication date: 24 March 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.03.017
biaspanel unit root testlocal-to-unity asymptoticscommon factorsinteractive effectsfactor analytical method
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (2)
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