The factor analytical approach in trending near unit root panels

DOI10.1111/jtsa.12624OpenAlexW3198913060MaRDI QIDQ5095296

Ovidijus Stauskas, Milda Norkutė, Joakim Westerlund

Publication date: 8 August 2022

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12624

zbMATH Keywords

Hessianpanelincidental trendsnear unit rootfactor analytical method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

Cites Work

• Incidental trends and the power of panel unit root tests
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• New tools for understanding the local asymptotic power of panel unit root tests
• Testing for a unit root in panels with dynamic factors
• The factor analytical approach in near unit root interactive effects panels
• ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
• Fixed-Effects Dynamic Panel Models, a Factor Analytical Method
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large

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