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GMM estimation of the number of latent factors : with application to international stock markets

Ahn, Seung Chan; Perez, M. Fabricio - In: Journal of empirical finance 17 (2010) 4, pp. 783-802

Persistent link: https://www.econbiz.de/10009267244

GMM Estimation of the Number of Latent Factors : With Application to International Stock Markets

Ahn, Seung Chan; Perez, M. Fabricio - 2011

We propose new generalized method of moments (GMM) estimators for the number of latent factors in linear factor models. The estimators are appropriate for data with a large (small) number of cross-sectional observations and a small (large) number of time series observations. The estimation...

Persistent link: https://www.econbiz.de/10014050472

Comment on "IV estimation of panels with factor residuals" by D. Robertson and V. Sarafidis

Ahn, Seung Chan - In: Journal of econometrics 185 (2015) 2, pp. 542-544

Persistent link: https://www.econbiz.de/10011348941

Estimation of linear panel data models using GMM

Ahn, Seung Chan; Schmidt, Peter - In: Generalized method of moments estimation, (pp. 211-247). 1999

Persistent link: https://www.econbiz.de/10001437746

Modified generalized instrumental variables estimation of panel data models with strictly exogenous instrumental variables

Ahn, Seung Chan; Schmidt, Peter - In: Analysis of panels and limited dependent variable …, (pp. 171-198). 1999

Persistent link: https://www.econbiz.de/10001445111

GMM estimation of linear panel data models with time-varying individual effects

Ahn, Seung Chan; Lee, Young Hoon; Schmidt, Peter - In: Journal of econometrics 101 (2001) 2, pp. 219-255

Persistent link: https://www.econbiz.de/10001554897

Estimation of long-run inefficiency levels : a dynamic frontier approach

Ahn, Seung Chan; Good, David H.; Sickles, Robin C. - In: Econometric reviews 19 (2000) 4, pp. 461-492

Persistent link: https://www.econbiz.de/10001521435

Small sample properties of the GMM specification test based on the Hansen - Jagannathan distance

Ahn, Seung Chan; Gadarowski, Christopher - In: Journal of empirical finance 11 (2004) 1, pp. 109-132

Persistent link: https://www.econbiz.de/10001881010

Panel data models with multiple time-varying individual effects

Ahn, Seung Chan; Lee, Young Hoon; Schmidt, Peter - In: Journal of econometrics 174 (2013) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10009737238

Stochastic frontier models with multiple time-varying individual effects

Ahn, Seung Chan; Lee, Young Hoon; Schmidt, Peter - In: Journal of productivity analysis 27 (2007) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10003494902