Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5095622 | Journal of Econometrics | 2017 | 37 Pages |
Abstract
We consider a large N,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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yunus Emre Ergemen, Carlos Velasco,