First-Di¤erenced Inference for Panel Factor Series
نویسندگان
چکیده
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 components, rst di¤erences. Corresponding author : Centre for Econometric Analysis, Faculty of Finance, Cass Business School, 106 Bunhill Row, London EC1Y 8TZ (U.K.). Tel. 00.44.(0)20.70405260 Fax. 00.44.(0)20.70408881, e-mail: [email protected]
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