Efficiency in Large Dynamic Panel Models with Common Factor
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- Gagliardini, Patrick & Gourieroux, Christian, 2014. "Efficiency In Large Dynamic Panel Models With Common Factors," Econometric Theory, Cambridge University Press, vol. 30(05), pages 961-1020, October.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Efficiency in Large Dynamic Panel Models with Common Factor," Working Papers 2010-05, Center for Research in Economics and Statistics.
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More about this item
KeywordsNonlinear Panel Model; Factor Model; Exchangeability; Systematic Risk; Efficiency Bound; Semi-parametric Efficiency; Fixed Effects Estimator; Bayesian Statistics; Stochastic Migration; Granularity;
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-06-03 (All new papers)
- NEP-ECM-2009-06-03 (Econometrics)
- NEP-ETS-2009-06-03 (Econometric Time Series)
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