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Modified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is small
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
2017 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 46, no 24, p. 12226-12239Article in journal (Refereed) Published
Abstract [en]

Panel data models with factor structures in both the errors and the regressors have received considerable attention recently. In these models, the errors and the regressors are correlated and the standard estimators are inconsistent. This paper shows that, for such models, a modified first-difference estimator (in which the time and the cross-sectional dimensions are interchanged) is consistent as the cross-sectional dimension grows but the time dimension is small. Although the estimator has a non standard asymptotic distribution, t and F tests have standard asymptotic distribution under the null hypothesis.

Place, publisher, year, edition, pages
Taylor & Francis, 2017. Vol. 46, no 24, p. 12226-12239
Keywords [en]
common shocks, factors, panel data
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:umu:diva-142678DOI: 10.1080/03610926.2017.1295156ISI: 000415803800018OAI: oai:DiVA.org:umu-142678DiVA, id: diva2:1164240
Available from: 2017-12-11 Created: 2017-12-11 Last updated: 2018-06-09Bibliographically approved

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Forchini, Giovanni

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Output format
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  • asciidoc
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