First-differenced inference for panel factor series

DOI10.1016/J.ECONLET.2012.11.026zbMath1268.91143OpenAlexW2095429829MaRDI QIDQ356606

Ekaterina Ipatova, Lorenzo Trapani

Publication date: 26 July 2013

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/6107/1/IpatovaTrapani.pdf

zbMATH Keywords

common factorscommon componentsfirst differencesnon-stationary panels

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• On bootstrapping panel factor series
• Estimating cross-section common stochastic trends in nonstationary panel data
• Inferential Theory for Factor Models of Large Dimensions

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