Asymptotics for Panel Models with Common Shocks

DOI10.1080/07474938.2011.607991zbMath1491.62103OpenAlexW2151647121MaRDI QIDQ5080153

Chihwa Kao, Giovanni Urga, Lorenzo Trapani

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/6113/1/KaoTrapaniUrga3R.pdf

zbMATH Keywords

asymptoticspanel datamartingale difference sequencecross-sectional dependencecommon shocksjoint limit

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Inferences in panel data with interactive effects using large covariance matrices ⋮ ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS ⋮ On bootstrapping panel factor series ⋮ On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects ⋮ Structural breaks in panel data: Large number of panels and short length time series ⋮ Model-free classification of panel data via the ϵ-complexity theory

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