Castagnetti et al. (2015) propose two max-type statistics to test for the presence of a factor structure in a large stationary panel data model. In this contribution, we study the use of Hausman-type statistics based on the CCE estimator of Pesaran (2006) and the IE estimator developed by Bai...

This paper develops an estimation and testing framework for a stationary large panel model with observable regressors and unobservable common factors. We allow for slope heterogeneity and for correlation between the common factors and the regressors. We propose a two stage estimation procedure...

This paper studies the asymptotic validity of sieve bootstrap for nonstationary panel factor series. Two main results are shown. Firstly, a bootstrap Invariance Principle is derived pointwise in i, obtaining an upper bound for the order of truncation of the AR polynomial that depends on n and...

We contrast the forecasting performance of alternative panel estimators, divided into three main groups: homogeneous, heterogeneous and shrinkage/Bayesian. Via a series of Monte Carlo simulations, the comparison is performed using different levels of heterogeneity and cross sectional dependence,...

We consider the issue of cross-sectional aggregation in nonstationary and heterogeneous panels where each unit cointegrates. We derive asymptotic properties of the aggregate estimate, and necessary and sufficient conditions for cointegration to hold in the aggregate relationship. We then analyze...

The asymptotic t-test for the long-run average in a heterogeneous nonstationary panel model is derived. The asymptotics of the Least Squares Dummy Variable (LSDV) and of the Pooled-OLS (POLS) estimators for the slope parameter are studied under various circumstances (serial correlation, strong...

This paper investigates the role of cross-sectional dependence among private forecasters, assessing its impact on the measurement and use of the forecasting uncertainty. We determine the circumstances under which cross-sectional measures of uncertainty (such as the disagreement across...