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A factor analytical approach to price discovery

Westerlund, Joakim; Reese, Simon; Narayan, Paresh Kumar - 2015

Persistent link: https://www.econbiz.de/10010507891

A factor analytical approach to price discovery

Westerlund, Joakim; Reese, Simon; Narayan, Paresh Kumar - In: Oxford bulletin of economics and statistics 79 (2017) 3, pp. 366-394

Persistent link: https://www.econbiz.de/10011771993

Cross-sectional averages versus principal components

Westerlund, Joakim; Urbain, Jean-Pierre - In: Journal of econometrics 185 (2015) 2, pp. 372-377

Persistent link: https://www.econbiz.de/10011349044

Estimation of factor-augmented panel regressions with weakly influential factors

Reese, Simon; Westerlund, Joakim - In: Econometric reviews 37 (2018) 1/5, pp. 401-465

Persistent link: https://www.econbiz.de/10012039354

The factor analytical approach in near unit root interactive effects panels

Norkutė, Milda; Westerlund, Joakim - In: Journal of econometrics 221 (2021) 2, pp. 569-590

Persistent link: https://www.econbiz.de/10012619250

The factor analytical approach in trending near unit root panels

Norkutė, Milda; Westerlund, Joakim; Stauskas, Ovidijus - 2021

Persistent link: https://www.econbiz.de/10012601025

Testing factors in CCE

Brown, Nicholas; Westerlund, Joakim - 2022

One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE) approach, which uses the cross-sectional averages of the observables as proxies of the unobserved factors. The present paper proposes a simple test that is suitable for testing...

Persistent link: https://www.econbiz.de/10013461522

Testing factors in CCE

Brown, Nicholas; Westerlund, Joakim - In: Economics letters 230 (2023), pp. 1-3

Persistent link: https://www.econbiz.de/10014460359

Tests of equal forecasting accuracy for nested models with estimated CCE factors

Stauskas, Ovidijus; Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1745-1758

Persistent link: https://www.econbiz.de/10013540477

Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure

Norkute, Milda; Sarafidis, Vasilis; Yamagata, Takashi; … - 2019

Persistent link: https://www.econbiz.de/10012606743