Common factors in nonstationary panel data with a deterministic trend - estimation and distribution theory
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KeywordsCommon-stochastic trends; Dynamic factors; Generalized dynamic factor models; Principal components; Nonstationary panel data;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-17 (All new papers)
- NEP-ECM-2010-07-17 (Econometrics)
- NEP-ETS-2010-07-17 (Econometric Time Series)
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