SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Asymptotic distribution of factor augmented estimators for panel regression
12 references·9 citing·43 second hop
Asymptotic distribution of factor augmented estimators for panel regression (2012)Asymptotic distribution of factor augment…Panel data models with multiple time-varying individual effects (2013)Panel data models with multip…The Feldstein-Horioka fact (2009)The Feldstein-Horioka factPanel Data Models With Interactive Fixed Effects (2009)Panel Data Models With Intera…Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Estimation and Inference in L…Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions (2006)Confidence Intervals for Diff…Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence (2006)Bias in dynamic panel estimat…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach* (2005)Measuring the Effects of Mone…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Inferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…GMM estimation of linear panel data models with time-varying individual effects (2001)GMM estimation of linear pane…The comparative African regional economics of globalization in financial allocation efficiency: the pre-crisis era revisited (2020)The comparative African regio…Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks (2020)Revisiting the location of FD…On the robustness of the pooled CCE estimator (2020)On the robustness of the pool…CCE in fixed‐ T panels (2019)CCE in fixed‐ T panelsDoes fiscal policy affect interest rates? Evidence from a factor-augmented panel (2016)Does fiscal policy affect int…Shrinkage estimation of dynamic panel data models with interactive fixed effects (2015)Shrinkage estimation of dynam…Specification test for panel data models with interactive fixed effects (2014)Specification test for panel …Dynamic Panel Analysis under Cross-Sectional Dependence (2014)Dynamic Panel Analysis under …Exchange Rates as Exchange Rate Common Factors (2012)Exchange Rates as Exchange Ra…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)A PANIC Attack on Unit Roots and Cointegration (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)New Indexes of Coincident and Leading Economic Indicators (1989)Transition Modeling and Econometric Convergence Tests (2007)Macroeconomic Forecasting Using Diffusion Indexes (2002)Measuring Uncertainty (2015)Specification Tests in Econometrics (1978)Common risk factors in the returns on stocks and bonds (1993)Cross-section dependence in nonstationary panel models: a novel estimator (2009)A Lagrange Multiplier test for cross-sectional dependence in a fixed effects panel data model (2012)Dynamic panels with threshold effect and endogeneity (2016)Econometric Analysis of Panel Data (2021)Macroeconomics and Reality (1980)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Large Bayesian vector auto regressions (2009)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)On the Pooling of Time Series and Cross Section Data (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Estimating Vector Autoregressions with Panel Data (1988)On the impact of error cross-sectional dependence in short dynamic panel estimation (2008)DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS (2015)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Large Dimensional Factor Analysis (2008)A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models (2011)Grouped Patterns of Heterogeneity in Panel Data (2015)Biases in Dynamic Models with Fixed Effects (1981)Analysis of Panel Data (2003)GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY (2009)Urbanization and renewable and non-renewable energy consumption in OECD countries: An empirical analysis (2014)Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets (2009)Macro Factors in Bond Risk Premia (2009)A new index of financial conditions (2014)The Quarterly Journal of Economics (2024)Estimating long-run relationships from dynamic heterogeneous panels (1995)General Diagnostic Tests for Cross Section Dependence in Panels (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)Testing slope homogeneity in large panels (2007)General diagnostic tests for cross-sectional dependence in panels (2020)
this work references cited by second hop

References

  • 2006Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure5,067 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 2009Panel Data Models With Interactive Fixed Effects1,685 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach*681 cited
  • 2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions629 cited
  • 2006Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence267 cited
  • 2001GMM estimation of linear panel data models with time-varying individual effects244 cited
  • 2013Panel data models with multiple time-varying individual effects212 cited
  • 2009The Feldstein-Horioka fact85 cited

Cited by

  • 2015Shrinkage estimation of dynamic panel data models with interactive fixed effects92 cited
  • 2014Dynamic Panel Analysis under Cross-Sectional Dependence

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

82 cited
  • 2019CCE in fixed‐ T panels72 cited
  • 2014Specification test for panel data models with interactive fixed effects68 cited
  • 2020On the robustness of the pooled CCE estimator61 cited
  • 2020Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks29 cited
  • 2020The comparative African regional economics of globalization in financial allocation efficiency: the pre-crisis era revisited21 cited
  • 2012Exchange Rates as Exchange Rate Common Factors20 cited
  • 2016Does fiscal policy affect interest rates? Evidence from a factor-augmented panel19 cited