How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Testy
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- M. Hashem Pesaran & Yimeng Xie, 2021. "A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors," CESifo Working Paper Series 9234, CESifo.
- M. Hashem Pesaran & Yimeng Xie, 2022. "A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors," Working Papers 2022-06-10, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
References listed on IDEAS
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- M. Hashem Pesaran & Takashi Yamagata, 2017. "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," CESifo Working Paper Series 6432, CESifo.
- Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
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- Uche, Emmanuel & Ngepah, Nicholas & Cifuentes-Faura, Javier, 2023. "Upholding the green agenda of COP27 through publicly funded R&D on energy efficiencies, renewables, nuclear and power storage technologies," Technology in Society, Elsevier, vol. 75(C).
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More about this item
Keywords
Latent Factor Models; Strong and Weak Factors; Error Cross-Sectional Independence; Spatial and Network Alternatives; Size and Power;All these keywords.
JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-08-16 (Econometrics)
- NEP-ISF-2021-08-16 (Islamic Finance)
- NEP-ORE-2021-08-16 (Operations Research)
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