Advanced search
Publication Cover
Journal of the American Statistical Association Volume 118, 2023 - Issue 544
Submit an article Journal homepage
2,950
Views
0
CrossRef citations to date
0
Altmetric
Theory and Methods

Robust Estimation of Large Panels with Factor Structures

Marco Avaruccia University of Glasgow, Glasgow, UK;;
&
Paolo Zaffaronib Imperial College Business School, London, UK;;;c University of Rome La Sapienza, Rome, ItalyCorrespondence[email protected]
Pages 2394-2405 | Received 22 Oct 2020, Accepted 09 Feb 2022, Published online: 11 Apr 2022

References

  • Andrews, D. (2005), “Cross-Section Regression with Common Shocks,” Econometrica, 73, 1551–1585. DOI: 10.1111/j.1468-0262.2005.00629.x.
  • Bai, J. (2009), “Panel Data Models with Interactive Fixed Effects,” Econometrica, 77, 1229–1279.
  • Bond, S., Leblebicioglu, A., and Schiantarelli, F. (2010), “Capital Accumulation and Growth: A New Look at the Empirical Evidence,” Journal of Applied Econometrics, 25, 1073–1099. DOI: 10.1002/jae.1163.
  • Brockwell, P., and Davis, R. (1991), Time Series: Theory and Methods. Springer Series in Statistics, Springer: New York.
  • Cramer, H. (1946), Mathematical Methods of Statistics, Princeton, NJ: Princeton University Press.
  • Hotelling, H. (1936), “Relations between Two Sets of Variates,” Biometrika, 28, 321–377. DOI: 10.1093/biomet/28.3-4.321.
  • Jones, C. I. (1995), “Time Series Tests of Endogenous Growth Models,” The Quarterly Journal of Economics, 110, 495–525. DOI: 10.2307/2118448.
  • Juodis, A., Karabiyik, H., and Westerlund, J. (2021), “On the Robustness of the Pooled CCE Estimator,” Journal of Econometrics, 220, 325–348. DOI: 10.1016/j.jeconom.2020.06.002.
  • Karabiyik, H., Urbain, J. P., and Westerlund, J. (2019), “CCE Estimation of Factor Augmented Regression Models with More Factors than Observables,” Journal of Applied Econometrics, 34, 268–284. DOI: 10.1002/jae.2661.
  • Lütkepohl, H. (1996), Handbook of Matrices, Chichester: Wiley.
  • Magnus, J. R., and Neudecker, H. (1988), Matrix Differential Calculus with Applications in Statistics and Econometrics, Probability and Mathematical Statistics, London: Wiley.
  • Mankiw, N. G., Romer, D., and Weil, D. N. (1992), “A Contribution to the Empirics of Growth,” Quarterly Journal of Economics, 107, 407–437. DOI: 10.2307/2118477.
  • Moon, H. R., and Weidner, M. (2015), “Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects,” Econometrica, 83, 1543–1579. DOI: 10.3982/ECTA9382.
  • Moon, H. R., and Weidner, M. (2017), “Dynamic Linear Panel Regression Models with Interactive Fixed Effects,” Econometric Theory, 33, 158–195. DOI: 10.1017/S0266466615000328.
  • Onatski, A. (2015), “Asymptotic Analysis of the Squared Estimation Error in Misspecified Factor Models,” Journal of Econometrics, 186, 388–406. DOI: 10.1016/j.jeconom.2015.02.016.
  • Pesaran, M. H. (2006), “Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure.” Econometrica, 74, 967–1012. DOI: 10.1111/j.1468-0262.2006.00692.x.
  • Pesaran, M. H., and Tosetti, E. (2011), “Large Panels with Common Factors and Spatial Correlations,” Journal of Econometrics, 161, 182–202. DOI: 10.1016/j.jeconom.2010.12.003.
  • Phillips, P. C. B. (1991), “Optimal Inference in Cointegrated Systems,” Econometrica, 59, 283–306. DOI: 10.2307/2938258.
  • Robinson, P. M., and Hidalgo, F. J. (1997), “Time Series Regression with Long-Range Dependence,” Annals of Statistics, 25, 77–104.
  • Romer, P. M. (1986), “Increasing Returns and Long-Run Growth,” Journal of Political Economy, 94, 1002–1037. DOI: 10.1086/261420.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.