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the idiosyncratic errors of the panel. A remarkable result emerges. Under suitable regularity conditions the traditional …-sectional driven criteria suffice for consistent estimation of the number of factors, which is different from the traditional panel … data results. Finally, we also show that the panel data estimates improve upon the individual volatility estimates …
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work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …
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