On bootstrapping panel factor series

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...

Panel Proceedings Series

Panel Time-Series

Traditionally economic panels had large number of cross-section units and relatively few time periods and econometric methods were developed for such ‘large N small T ’data. More recently panels with observations for a large numbers of time periods have become available on cross-section units like …rms, industries, regions or countries. These notes explore the econometric methods developed for ...

Bootstrapping GMM estimators for time series

This paper considers the bootstrap for the GMM estimator of overidentified linear models when autocorrelation structures of moment functions are unknown. When moment functions are uncorrelated after finite lags, Hall and Horowitz, [1996. Bootstrap critical values for tests based on generalized method of moments estimators. Econometrica 64, 891–916] showed that errors in the rejection probabilit...

Bootstrapping the Hausman Test in Panel Data Models

The Hausman test statistic in panel data models is asymptotically pivotal under the null hypothesis. It could therefore be refined using the bootstrap resampling technique. Edgeworth expansion shows that coverage of a bootstrap version of the Hausman test is second-order correct. The asymptotic vis-à-vis the bootstrap version of Hausman test are compared by Monte Carlo simulations. Results show...