Zirogiannis, Nikolaos; Tripodis, Yorghos - Agricultural and Applied Economics Association - AAEA - 2014
We develop a dynamic factor model for panel data with a short time dimension (i.e. n15). Unlike most of the work in the DFM literature where one common factor is estimated for a group of cross sectional units, our interest lies in the estimation of a latent variable for each cross sectional unit...