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Evaluating Latent and Observed Factors in Macroeconomics and Financ

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Cited by:

  1. Wu, Jianhong, 2019. "Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance," Economics Letters, Elsevier, vol. 176(C), pages 60-63.
  2. Heaton, Chris & Oslington, Paul, 2010. "Micro vs macro explanations of post-war US unemployment movements," Economics Letters, Elsevier, vol. 106(2), pages 87-91, February.
  3. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank.
  4. Anisha Ghosh & Oliver Linton, 2019. "Estimation with Mixed Data Frequencies: A Bias-Correction Approach," CeMMAP working papers CWP65/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. Cheng, Mingmian & Liao, Yuan & Yang, Xiye, 2023. "Uniform predictive inference for factor models with instrumental and idiosyncratic betas," Journal of Econometrics, Elsevier, vol. 237(2).
  6. Roberta Fiori & Simonetta Iannotti, 2010. "On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach," Temi di discussione (Economic working papers) 779, Bank of Italy, Economic Research and International Relations Area.
  7. Su, Liangjun & Jin, Sainan & Zhang, Yonghui, 2015. "Specification test for panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
  8. Nii Ayi Armah & Norman Swanson, 2010. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 476-510.
  9. Sandra Eickmeier & Boris Hofmann, 2022. "What drives inflation? Disentangling demand and supply factors," BIS Working Papers 1047, Bank for International Settlements.
  10. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
  11. Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012. "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1299-1318.
  12. Kim, Hyun Hak & Swanson, Norman R., 2018. "Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods," International Journal of Forecasting, Elsevier, vol. 34(2), pages 339-354.
  13. Peter C. B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Econometrica, Econometric Society, vol. 75(6), pages 1771-1855, November.
  14. Martin Wagner, 2008. "On PPP, unit roots and panels," Empirical Economics, Springer, vol. 35(2), pages 229-249, September.
  15. Brown, Nicholas & Westerlund, Joakim, 2023. "Testing factors in CCE," Economics Letters, Elsevier, vol. 230(C).
  16. Jushan Bai & Serena Ng, 2008. "Extremum Estimation when the Predictors are Estimated from Large Panels," Annals of Economics and Finance, Society for AEF, vol. 9(2), pages 201-222, November.
  17. Colin T. Bowers & Chris Heaton, 2013. "What does high-dimensional factor analysis tell us about risk factors in the Australian stock market?," Applied Economics, Taylor & Francis Journals, vol. 45(11), pages 1395-1404, April.
  18. Mario Crucini & Ayhan Kose & Christopher Otrok, 2011. "What are the driving forces of international business cycles?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 156-175, January.
  19. Bai, Jushan & Ando, Tomohiro, 2013. "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper 52785, University Library of Munich, Germany, revised Dec 2013.
  20. Marine Carrasco & Barbara Rossi, 2016. "In-Sample Inference and Forecasting in Misspecified Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 313-338, July.
  21. Shahrin Saaid Shaharuddin & Wee-Yeap Lau & Tien-Ming Yip, 2017. "Dynamic Linkages between Newly Developed Islamic Equity Style Indices: Is Growth Style More Influential Than Value Style?," Capital Markets Review, Malaysian Finance Association, vol. 25(2), pages 49-64.
  22. Bianco, Dominique & Niang, Abdou-Aziz, 2012. "On international spillovers," Economics Letters, Elsevier, vol. 117(1), pages 280-282.
  23. Kim, Young Se, 2015. "Electricity consumption and economic development: Are countries converging to a common trend?," Energy Economics, Elsevier, vol. 49(C), pages 192-202.
  24. Goyal, Amit & Pérignon, Christophe & Villa, Christophe, 2008. "How common are common return factors across the NYSE and Nasdaq?," Journal of Financial Economics, Elsevier, vol. 90(3), pages 252-271, December.
  25. Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012. "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1299-1318.
  26. Westerlund, Joakim & Sharma, Susan Sunila, 2019. "Panel evidence on the ability of oil returns to predict stock returns in the G7 area," Energy Economics, Elsevier, vol. 77(C), pages 3-12.
  27. Guido M. Kuersteiner & Ingmar R. Prucha, 2020. "Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity," Econometrica, Econometric Society, vol. 88(5), pages 2109-2146, September.
  28. Kim, Hyun Hak & Swanson, Norman R., 2014. "Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence," Journal of Econometrics, Elsevier, vol. 178(P2), pages 352-367.
  29. Kihwan Kim & Hyun Hak Kim & Norman R. Swanson, 2023. "Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008," Empirical Economics, Springer, vol. 64(3), pages 1421-1469, March.
  30. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1), pages 557-567.
  31. Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J.F., 2008. "Macroeconomic forecasting with matched principal components," International Journal of Forecasting, Elsevier, vol. 24(1), pages 87-100.
  32. Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
  33. Issler, João Victor & Lima, Luiz Renato, 2009. "A panel data approach to economic forecasting: The bias-corrected average forecast," Journal of Econometrics, Elsevier, vol. 152(2), pages 153-164, October.
  34. Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2019. "A two-stage estimator for heterogeneous panel models with common factors," Econometrics and Statistics, Elsevier, vol. 11(C), pages 63-82.
  35. Dhyne, Emmanuel & Fuss, Catherine & Pesaran, M. Hashem & Sevestre, Patrick, 2011. "Lumpy Price Adjustments: A Microeconometric Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 529-540.
  36. Trapani, Lorenzo, 2013. "On bootstrapping panel factor series," Journal of Econometrics, Elsevier, vol. 172(1), pages 127-141.
  37. David Rapach & Jack Strauss, 2010. "Bagging or Combining (or Both)? An Analysis Based on Forecasting U.S. Employment Growth," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 511-533.
  38. Mastromarco, Camilla & Simar, Léopold, 2018. "Globalization and productivity: A robust nonparametric world frontier analysis," Economic Modelling, Elsevier, vol. 69(C), pages 134-149.
  39. Jörg Breitung & In Choi, 2013. "Factor models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 11, pages 249-265, Edward Elgar Publishing.
    • In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Dec 2011.
  40. Fabio Araujo & Joao Victor Issler, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005 202, Society for Computational Economics.
  41. Zhang, Yixiao & Yu, Cindy L. & Li, Haitao, 2022. "Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach," Econometrics and Statistics, Elsevier, vol. 24(C), pages 75-93.
  42. Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
  43. Nii Ayi Armah & Norman Swanson, 2011. "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 43-60.
  44. Eric Bataille & Catherine Bruneau & Frederic Michaud, 2007. "Business cycle and corporate failure in France: Is there a link?," Computational Economics, Springer;Society for Computational Economics, vol. 29(2), pages 173-197, March.
  45. Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2022. "The global component of inflation volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 700-721, June.
  46. Jiahui Xi & Conghua Wen & Yifan Tang & Feifan Zhao, 2024. "A factor score clustering approach to analyze the biopharmaceutical sector in the Chinese market during COVID-19," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.
  47. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-18.
  48. Sun, Yucheng & Xu, Wen & Zhang, Chuanhai, 2023. "Identifying latent factors based on high-frequency data," Journal of Econometrics, Elsevier, vol. 233(1), pages 251-270.
  49. Dong, Yingjie & Huang, Wenxin & Tse, Yiu-Kuen, 2023. "Price comovement and market segmentation of Chinese A- and H-shares: Evidence from a panel latent-factor model," Journal of International Money and Finance, Elsevier, vol. 131(C).
  50. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany.
  51. Demir, Ishak, 2019. "International Spillovers of U.S. Monetary Policy," EconStor Preprints 193968, ZBW - Leibniz Information Centre for Economics.
  52. Zafar, Muhammad Wasif & Zaidi, Syed Anees Haider & Sinha, Avik & Gedikli, Ayfer & Hou, Fujun, 2019. "The role of stock market and banking sector development, and renewable energy consumption in carbon emissions: Insights from G-7 and N-11 countries," Resources Policy, Elsevier, vol. 62(C), pages 427-436.
  53. Pilar Poncela & Esther Ruiz, 2016. "Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434, Emerald Group Publishing Limited.
  54. Owyang, Michael T. & Rapach, David E. & Wall, Howard J., 2009. "States and the business cycle," Journal of Urban Economics, Elsevier, vol. 65(2), pages 181-194, March.
  55. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Asymptotics for Panel Models with Common Shocks," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 390-439.
  56. Kim Dukpa & Kim Yunjung & Bak Yuhyeon, 2017. "Multi-level factor analysis of bond risk premia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-19, December.
  57. Kelava, Augustin & Kohler, Michael & Krzyżak, Adam & Schaffland, Tim Fabian, 2017. "Nonparametric estimation of a latent variable model," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 112-134.
  58. Hyun Hak Kim, 2013. "Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods: The Case of Korea," Working Papers 2013-26, Economic Research Institute, Bank of Korea.
  59. Kleibergen, Frank & Zhan, Zhaoguo, 2015. "Unexplained factors and their effects on second pass R-squared’s," Journal of Econometrics, Elsevier, vol. 189(1), pages 101-116.
  60. Cheng, Mingmian & Swanson, Norman R. & Yang, Xiye, 2021. "Forecasting volatility using double shrinkage methods," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 46-61.
  61. Zafar, Muhammad Wasif & Shahbaz, Muhammad & Hou, Fujun & Sinha, Avik, 2018. "¬¬¬¬¬¬From Nonrenewable to Renewable Energy and Its Impact on Economic Growth: Silver Line of Research & Development Expenditures in APEC Countries," MPRA Paper 90611, University Library of Munich, Germany, revised 10 Dec 2018.
  62. Seung C. Ahn & Stephan Dieckmann & M. Fabricio Perez, 2018. "Is there a missing factor? A canonical correlation approach to factor models," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 321-347, October.
  63. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2014. "Understanding global liquidity," European Economic Review, Elsevier, vol. 68(C), pages 1-18.
  64. Kapetanios, G. & Pesaran, M.H. & Reese, S., 2021. "Detection of units with pervasive effects in large panel data models," Journal of Econometrics, Elsevier, vol. 221(2), pages 510-541.
  65. Mastromarco, Camilla & Simar, Leopold, 2014. "Global Dependence and Productivity: A Robust Nonparametric World Frontier Analysis," LIDAM Discussion Papers ISBA 2014049, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  66. Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
  67. Herrerias, M.J. & Ordoñez, J., 2012. "New evidence on the role of regional clusters and convergence in China (1952–2008)," China Economic Review, Elsevier, vol. 23(4), pages 1120-1133.
  68. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A stochastic discount factor approach to asset pricing using panel data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 628, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  69. Ghosh, Anisha & Linton, Oliver, 2023. "Estimation with mixed data frequencies: A bias-correction approach," Journal of Empirical Finance, Elsevier, vol. 74(C).
  70. Alhassan Abdullah Mohammed, 2011. "A Coincident Indicator of the Gulf Cooperation Council Business Cycle," Review of Middle East Economics and Finance, De Gruyter, vol. 6(3), pages 1-23, February.
  71. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016. "Structural analysis with Multivariate Autoregressive Index models," Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
  72. Cecilio R. Tamarit Escalona & Estrella Gómez, 2011. "The euro effect on trade: evidence in gravity equations using panel cointegration techniques," Working Papers. Serie EC 2011-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  73. Mariam Camarero & Estrella Gómez & Cecilio Tamarit, 2012. "The euro impact on trade. Long run evidence with structural breaks," Working Papers 1209, Department of Applied Economics II, Universidad de Valencia.
  74. Sinha, Avik & Gupta, Monika & Shahbaz, Muhammad & Sengupta, Tuhin, 2019. "Impact of Corruption in Public Sector on Environmental Quality: Implications for Sustainability in BRICS and Next 11 Countries," MPRA Paper 94357, University Library of Munich, Germany, revised 05 Jun 2019.
  75. Abdou-Aziz Niang & Abdoulaye Diagne & Marie-Claude Pichery, 2011. "Exploring the finance-real economy link in U.S.: empirical evidence from panel unit root and cointegration analysis," Empirical Economics, Springer, vol. 40(1), pages 253-268, February.
  76. Joakim Westerlund, 2020. "A cross‐section average‐based principal components approach for fixed‐T panels," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 776-785, September.
  77. Herrerias, M.J., 2013. "The environmental convergence hypothesis: Carbon dioxide emissions according to the source of energy," Energy Policy, Elsevier, vol. 61(C), pages 1140-1150.
  78. Norman R. Swanson, 2016. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 348-353, July.
  79. Abdullah Alhassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 2009/073, International Monetary Fund.
  80. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Swiss Finance Institute Research Paper Series 23-44, Swiss Finance Institute.
  81. Wu, Jianhong & Li, Jinchang, 2014. "Testing for individual and time effects in panel data models with interactive effects," Economics Letters, Elsevier, vol. 125(2), pages 306-310.
  82. Camarero, Mariam & Gómez, Estrella & Tamarit, Cecilio, 2014. "Is the ‘euro effect’ on trade so small after all? New evidence using gravity equations with panel cointegration techniques," Economics Letters, Elsevier, vol. 124(1), pages 140-142.
  83. Mohitosh Kejriwal & Xiaoxiao Li & Linh Nguyen & Evan Totty, 2024. "The efficacy of ability proxies for estimating the returns to schooling: A factor model‐based evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 3-21, January.
  84. Cathy Chen & Wolfgang Härdle, 2015. "Common factors in credit defaults swap markets," Computational Statistics, Springer, vol. 30(3), pages 845-863, September.
  85. Fousekis, Panos, 2009. "Are Food Prices in the EU Converging? Empirical Evidence from the Log t Test," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 62(4), pages 407-423.
  86. Pérez-Quirós, Gabriel & Camacho, Máximo & Alvarez, Rocio, 2012. "Finite sample performance of small versus large scale dynamic factor models," CEPR Discussion Papers 8867, C.E.P.R. Discussion Papers.
  87. Jonas Krampe & Luca Margaritella, 2024. "Global bank network connectedness revisited: What is common, idiosyncratic and when?," Papers 2402.02482, arXiv.org.
  88. Pelger, Markus, 2019. "Large-dimensional factor modeling based on high-frequency observations," Journal of Econometrics, Elsevier, vol. 208(1), pages 23-42.
  89. Mirza, Faisal Mehmood & Sinha, Avik & Khan, Javeria Rehman & Kalugina, Olga A. & Zafar, Muhammad Wasif, 2022. "Impact of Energy Efficiency on CO2 Emissions: Empirical Evidence from Developing Countries," MPRA Paper 111923, University Library of Munich, Germany, revised 2022.
  90. Young Se Kim & Hyok Jung Kim, 2015. "Disaggregated Approach to Measuring Core Inflation," Korean Economic Review, Korean Economic Association, vol. 31, pages 145-176.
  91. Marek Chudý & Erhard Reschenhofer, 2019. "Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression," Econometrics, MDPI, vol. 7(4), pages 1-14, December.
  92. Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
  93. Brownlees, Christian & Mesters, Geert, 2021. "Detecting granular time series in large panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 544-561.
  94. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study," MPRA Paper 26196, University Library of Munich, Germany.
  95. Lin, Jianhao & Wang, Meijin & Cai, Lingfeng, 2012. "Are the Fama–French factors good proxies for latent risk factors? Evidence from the data of SHSE in China," Economics Letters, Elsevier, vol. 116(2), pages 265-268.
  96. Eduardo A. Souza-Rodrigues, 2016. "Nonparametric Regression with Common Shocks," Econometrics, MDPI, vol. 4(3), pages 1-17, September.
  97. Dai, Chaoxing & Lu, Kun & Xiu, Dacheng, 2019. "Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data," Journal of Econometrics, Elsevier, vol. 208(1), pages 43-79.
  98. Atak, Alev & Kapetanios, George, 2013. "A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors," Economics Letters, Elsevier, vol. 120(2), pages 224-228.
  99. Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
  100. Muhammad Wasif Zafar & Asif Saeed & Syed Anees Haider Zaidi & Abdul Waheed, 2021. "The linkages among natural resources, renewable energy consumption, and environmental quality: A path toward sustainable development," Sustainable Development, John Wiley & Sons, Ltd., vol. 29(2), pages 353-362, March.
  101. repec:ebl:ecbull:v:3:y:2008:i:33:p:1-18 is not listed on IDEAS
  102. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
  103. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2022. "Forecasting European carbon returns using dimension reduction techniques: Commodity versus financial fundamentals," International Journal of Forecasting, Elsevier, vol. 38(3), pages 944-969.
  104. Pedro Henrique Melo Albuquerque & Yaohao Peng & João Pedro Fontoura da Silva, 2022. "Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1701-1724, December.
  105. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank.
  106. Matthieu Stigler & David Lobell, 2024. "Optimal index insurance and basis risk decomposition: an application to Kenya," American Journal of Agricultural Economics, John Wiley & Sons, vol. 106(1), pages 306-329, January.
  107. Kuersteiner, Guido M. & Prucha, Ingmar R., 2013. "Limit theory for panel data models with cross sectional dependence and sequential exogeneity," Journal of Econometrics, Elsevier, vol. 174(2), pages 107-126.
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