Modified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is small

DOI10.1080/03610926.2017.1295156zbMath1408.62176OpenAlexW2590888873MaRDI QIDQ4606463

Bin Peng, Giovanni Forchini

Publication date: 7 March 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1295156

zbMATH Keywords

panel datafactorscommon shocks

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Conditional independence, conditional mixing and conditional association
• An introduction to the theory of point processes
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• Necessary and sufficient conditions for the conditional central limit theorem
• Some theorems on conditional mean convergence and conditional almost sure convergence for randomly weighted sums of dependent random variables
• Limit theory for panel data models with cross sectional dependence and sequential exogeneity
• CONDITIONAL CENTRAL LIMIT THEOREMS FOR A SEQUENCE OF CONDITIONAL INDEPENDENT RANDOM VARIABLES
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Cross-Section Regression with Common Shocks

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