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, M. Hashem |
Publisher: |
London : Queen Mary University of London, Department of Economics |
Subject: | Panel | Schätztheorie | Faktorenanalyse | Stichprobenverfahren | Kapitalertrag | Börsenkurs | Schätzung | Theorie | Welt | Cross section dependence, Large panels, Principal components, Common correlated effects, Return equations |
Series: | Working Paper ; 536 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 487169492 [GVK] hdl:10419/62910 [Handle] |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C33 - Models with Panel Data |
Source: |
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Kapetanios, George, (2005)
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Panels with nonstationary multifactor error structures
Kapetanios, George, (2006)
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