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
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Authors: | Kapetanios, George ; Pesaran, Mohammad Hashem |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | Panel | Schätztheorie | Faktorenanalyse | Stichprobenverfahren | Kapitalertrag | Börsenkurs | Schätzung | Theorie | Welt | cross section dependence | large panels | principal components | common correlated effects | return equations |
Series: | CESifo Working Paper ; 1416 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 484401165 [GVK] hdl:10419/18780 [Handle] |
Classification: | C33 - Models with Panel Data ; C13 - Estimation ; C12 - Hypothesis Testing |
Source: |
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Kapetanios, George, (2005)
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Kapetanios, G., (2005)
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Estimation and inference in large heterogeneous panels with a multifactor error structure
Pesaran, Mohammad Hashem, (2004)
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Panels with nonstationary multifactor error structures
Kapetanios, George, (2006)
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Panels with nonstationary multifactor error structures
Kapetanios, George, (2006)
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Kapetanios, George, (2005)
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