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First-differenced inference for panel factor series

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  • Ipatova, Ekaterina
  • Trapani, Lorenzo

Abstract

We complement existing inferential theory for panel factor models by deriving the asymptotics for the first differences of the estimated factors and common components obtained from a non-stationary panel factor model. As an application, we propose an estimator for the long run variance of the common components.

Suggested Citation

  • Ipatova, Ekaterina & Trapani, Lorenzo, 2013. "First-differenced inference for panel factor series," Economics Letters, Elsevier, vol. 118(2), pages 364-366.
    • Handle: RePEc:eee:ecolet:v:118:y:2013:i:2:p:364-366
    DOI: 10.1016/j.econlet.2012.11.026
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    References listed on IDEAS

    as
    1. Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September.
    2. Trapani, Lorenzo, 2013. "On bootstrapping panel factor series," Journal of Econometrics, Elsevier, vol. 172(1), pages 127-141.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Non-stationary panels; Common factors; Common components; First differences;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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