First-differenced inference for panel factor series

We complement existing inferential theory for panel factor models by deriving the asymptotics for the first differences of the estimated factors and common components obtained from a non-stationary panel factor model. As an application, we propose an estimator for the long run variance of the common components.

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Year of publication:	2013
Authors:	Ipatova, Ekaterina ; Trapani, Lorenzo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 2, p. 364-366
Publisher:	Elsevier
Subject:	Non-stationary panels \| Common factors \| Common components \| First differences

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Type of publication:	Article
Classification:	C13 - Estimation ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010608096