Regime switching panel data models with interative fixed effects
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- Cheng, Tingting & Gao, Jiti & Yan, Yayi, 2019. "Regime switching panel data models with interactive fixed effects," Economics Letters, Elsevier, vol. 177(C), pages 47-51.
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Cited by:
- Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
- Liu, Hao, 2019. "The communication and European Regional economic growth: The interactive fixed effects approach," Economic Modelling, Elsevier, vol. 83(C), pages 299-311.
- Cheng, Tingting & Xing, Shuo & Yao, Wenying, 2022. "An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
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More about this item
Keywords
ECM algorithm; interactive effect; maximum likelihood estimation; panel data model; regime switching.;All these keywords.
JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-12-24 (Econometrics)
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