Inference on factor structures in heterogeneous panels

DOI10.1016/j.jeconom.2014.08.004zbMath1332.62314OpenAlexW2131982933MaRDI QIDQ473358

Eduardo Rossi, Carolina Castagnetti, Lorenzo Trapani

Publication date: 24 November 2014

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/6104/1/CastagnettiRossiTrapani_Nov_2013.pdf

zbMATH Keywords

extreme value distributionlarge panelsCCE estimatorprincipal component estimatortesting for factor structure

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

A Randomized Sequential Procedure to Determine the Number of Factors ⋮ Hausman-type tests for individual and time effects in the panel regression model with incomplete data ⋮ Efficient estimation of heterogeneous coefficients in panel data models with common shocks ⋮ Simultaneous Spatial Panel Data Models with Common Shocks ⋮ Panel threshold models with interactive fixed effects ⋮ Testing for no factor structures: on the use of Hausman-type statistics ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures ⋮ Testing for time-varying factor loadings in high-dimensional factor models

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