Estimation of fractionally integrated panels with fixed effects and cross-section dependence

详细信息    查看全文

• 作者：Yunus Emre Ergemen^a ; ^{ergemen@econ.au.dk} ; Carlos Velasco^b ; ^{carlos.velasco@uc3m.es}
• 关键词：C22 ; C23
• 刊名：Journal of Econometrics
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：196
• 期：2
• 页码：248-258
• 全文大小：541 K
• 卷排序：196

文摘

We consider a large N,TN,T heterogeneous panel data model with fixed effects, common factors allowing for cross-section dependence, and persistent data and errors, which are assumed fractionally integrated. We propose individual and common-correlation estimates for the slope parameters while error memory parameters are estimated from regression residuals. The individual parameter estimates are all T consistent, asymptotically normal and mutually uncorrelated, irrespective of cointegration between defactored observables. A study of small-sample performance and an empirical application to realized volatility persistence are included.