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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …
Persistent link: https://www.econbiz.de/10012042424
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A panel data test for mean reversion using ranndomization [randomization]
Schaller, Huntley; Jog, Vijay M. - 1993
Persistent link: https://www.econbiz.de/10000855405
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Likelihood-based cointegration tests in heterogeneous panels
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000991637
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Likelihood-based cointegration tests in heterogeneous panels
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - In: The econometrics journal 4 (2001) 1, pp. 109-142
Persistent link: https://www.econbiz.de/10001612299
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Median-unbiased estimation in fixed-effects dynamic panels
Cermeño, Rodolfo - In: Annales d'économie et de statistique (1999), pp. 351-368
Persistent link: https://www.econbiz.de/10001566529
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Pitfalls in panel tests of purchasing power parity
Anker, Peter - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 135 (1999) 3, pp. 437-453
Persistent link: https://www.econbiz.de/10001408499
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Accurate statistical analysis in dynamic panel data models
Bun, Maurice J. G. - 2001
Persistent link: https://www.econbiz.de/10001690144
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Unit roots : identification and testing in micro panels
Bond, Stephen (contributor); Nauges, Céline (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002996750
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Dynamic Hierarchical Factor Models
Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2011
four-level model is estimated to study block- and aggregate-level dynamics in a panel of 445 series related to different …
Persistent link: https://www.econbiz.de/10014199839
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Likelihood-Based Cointegration Tests in Heterogeneous Panels
Larsson, Rolf; Lyhagen, Johan; Lothgren, Mickael - 2001
This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on …
Persistent link: https://www.econbiz.de/10014125960