Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns
Year of publication: |
2005-05
|
---|---|
Authors: | Kapetanios, G. ; Pesaran, M.H. |
Institutions: | Faculty of Economics, University of Cambridge |
Subject: | Cross Section Dependence | Large Panels | Principal Components | Common Correlated Effects | Return Equations |
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