Yufeng Mao, Bin Peng, Mervyn Silvapulle, Param Silvapulle, Yanrong Yang
arXiv 17 Jan 2021 · Econometrics
arXiv:2101.06805 · PDF · DOI · OpenAlex · Extracted main text
This study decomposes the bilateral trade flows using a three-dimensional panel data model. Under the scenario that all three dimensions diverge to infinity, we propose an estimation approach to identify the number of global shocks and country-specific shocks sequentially, and establish the asymptotic theories accordingly. From the practical point of view, being able to separate the pervasive and nonpervasive shocks in a multi-dimensional panel data is crucial for a range of applications, such as, international financial linkages, migration flows, etc. In the numerical studies, we first conduct intensive simulations to examine the theoretical findings, and then use the proposed approach to investigate the international trade flows from two major trading groups (APEC and EU) over 1982-2019, and quantify the network of bilateral trade.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Breitung \ Eickmeier (2016) `Analyzing international business and financial cycles using Multi-Level factor models: A comparison of alternative approaches',… | 1.000 | 5 | 3 | 100% |
| 2 | Wang (2010) Large dimensional factor models with a multi-level factor structure: Identification, estimation and inference | 1.000 | 5 | 3 | 100% |
| 3 | Kapetanios, Serlenga \ Shin (2020) `Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure', Jo… | 1.000 | 5 | 3 | 100% |
| 4 | Choi, Kim, Kim \ Kwark (2018) `A multilevel factor model: Identification, asymptotic theory and applications', Journal of Applied Econometrics 33(3), 355–377 | 0.874 | 6 | 2 | 100% |
| 5 | Andreou, Gagliardini, Ghysels \ Rubin (2019) `Inference in group factor models with an application to mixed-frequency data', Econometrica 87(4), 1267–1305 | 0.811 | 4 | 2 | 100% |
| 6 | Han (2019) `Shrinkage estimation of factor models with global and group-specific factors', Journal of Business & Economic Statistics 0(0),… | 0.737 | 3 | 2 | 100% |
| 7 | Anderson \ Van Wincoop (2003) `Gravity with gravitas: A solution to the border puzzle', American economic review 93(1), 170–192 | 0.644 | 2 | 2 | 100% |
| 8 | Lam \ Yao (2012) `Factor modeling for high-dimensional time series: Inference for the number of factors', Annals of Statistics 40(2), 694–726 | 0.585 | 3 | 1 | 100% |
| 9 | Ando \ Bai (2017) `Clustering huge number of financial time series: A panel data approach with high-dimensional predictors and factor structures',… | 0.511 | 2 | 1 | 100% |
| 10 | Bai \ Ng (2013) `Principal components estimation and identification of static factors', Journal of Econometrics 176(1), 18–99 | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 32 scored citations.