Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models
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- Hayakawa, Kazuhiko, 2016. "Improved GMM estimation of panel VAR models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 240-264.
- Bai, Jushan & Liao, Yuan, 2017. "Inferences in panel data with interactive effects using large covariance matrices," Journal of Econometrics, Elsevier, vol. 200(1), pages 59-78.
- Jushan Bai, 2023. "Efficiency of QMLE for dynamic panel data models with interactive effects," Papers 2312.07881, arXiv.org, revised Apr 2024.
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More about this item
Keywords
asymptotic efficiency; convolution theorem; double asymptotics; dynamic panel data model; factor model; interactive effects.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-02-21 (Econometrics)
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