First-differenced inference for panel factor series
نویسندگان
چکیده
منابع مشابه
First-Di¤erenced Inference for Panel Factor Series
We complement existing inferential theory for panel factor models by deriving the asymptotics for the rst di¤erences of the estimated factors and common components obtained from a non-stationary panel factor model. As an application, we propose an estimator for the long run variance of the common components. JEL Classi cation: C13, C23. Keywords: Non-stationary panels, common factors, common c...
متن کاملEstimation and inference with non-stationary panel time-series data
The econometric theory for panel data regressions was largely developed for survey data where N the number of individuals was large and T the number of time periods small. The asymptotic statistical theory was derived by letting N → ∞ for fixed T . In recent years there has been growing interest in cases, such as sets of countries, regions or industries, where there are fairly long time-series ...
متن کاملParallel Inference Machines (Panel)
The quest for ever more powerful computers has bumped up hard against the limits imposed by nature such as speed of light and electrons. However, scientists and industry agree that there is still a great potential for further speed-up by distributing computations among many processors rather than a single one. This is apparent for problems that can easily be broken down into many independent pa...
متن کاملIndirect Inference for Dynamic Panel Models ∗
It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size (T ) and large cross section sample size (N) asymptotics. The estimation bias is particularly relevant in practical applications when T is small and the autoregressive parameter is close to unity. The presen...
متن کاملIndirect Inference for Dynamic Panel Models By
Maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size and large cross section sample size asymptotics. This paper proposes a general, computationally inexpensive method of bias reduction that is based on indirect inference, shows unbiasedness and analyzes efficiency. Monte Carlo stu...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economics Letters
سال: 2013
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2012.11.026