Arbeitspapier
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit root tests. This paper adopts the factor based cross-sectional dependence paradigm of Bai and Ng (2004) but suggests alternative factor extraction methods. Some theoretical results for these methods are provided. Further, a detailed Monte Carlo study of these methods for multiple and persistent factors is undertaken. It is found that results are radically different to the serially uncorrelated single factor case. Tests perform much worse and in some cases it is preferable not to correct at all for cross-sectional dependence.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 509
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Thema
-
Panel unit root tests, Factor models, Subspace algorithms
Unit Root Test
Panel
Faktorenanalyse
Zustandsraummodell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Entstanden
- 2004
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