Bin Peng, Liangjun Su, Joakim Westerlund, Yanrong Yang
arXiv 22 Nov 2021 · Econometrics · publishedEconometric Theory (2023) · 2 citations (OpenAlex)
arXiv:2111.11506 · PDF · DOI · OpenAlex · Extracted main text
This paper considers a model with general regressors and unobservable factors. An estimator based on iterated principal components is proposed, which is shown to be not only asymptotically normal and oracle efficient, but under certain conditions also free of the otherwise so common asymptotic incidental parameters bias. Interestingly, the conditions required to achieve unbiasedness become weaker the stronger the trends in the factors, and if the trending is strong enough unbiasedness comes at no cost at all. In particular, the approach does not require any knowledge of how many factors there are, or whether they are deterministic or stochastic. The order of integration of the factors is also treated as unknown, as is the order of integration of the regressors, which means that there is no need to pre-test for unit roots, or to decide on which deterministic terms to include in the model.
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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 | Bai (2009) `Panel data models with interactive fixed effects', Econometrica 77, 1229–1279 | 1.000 | 21 | 7 | 100% |
| 2 | Moon \ Weidner (2015) `Linear regression for panel with unknown number of factors as interactive fixed effects', Econometrica 83, 1543–1579 | 1.000 | 10 | 4 | 100% |
| 3 | Ahn \ Horenstein (2013) `Eigenvalue ratio test for the number of factors', Econometrica 81, 1203–1227 | 1.000 | 5 | 4 | 100% |
| 4 | Bai \ Ng (2002) `Determining the number of factors in approximate factor models', Econometrica 70, 191–221 | 1.000 | 5 | 4 | 100% |
| 5 | Dong, Gao \ Peng (2021) `Varying-coefficient panel data models with nonstationarity and partially observed factor structure', Journal of Business and Ec… | 0.928 | 4 | 3 | 100% |
| 6 | Huang, Jin, Phillips \ Su (2021) `Nonstationary panel models with latent group structures and cross-section dependence', Journal of Econometrics 221, 198–222 | 0.843 | 3 | 3 | 100% |
| 7 | Bai, Kao \ Ng (2009) `Panel cointegration with global stochastic trends', Journal of Econometrics 149, 82–99 | 0.811 | 4 | 2 | 100% |
| 8 | Lam \ Yao (2012) `Factor modeling for high-dimensional time series: Inference for the number of factors', Annals of Statistics 40, 694–726 | 0.737 | 3 | 2 | 100% |
| 9 | Holly, Pesaran \ Yamagata (2010) `A spatio-temporal model of house prices in the USA', Journal of Econometrics 158, 160–173 | 0.693 | 6 | 1 | 100% |
| 10 | Ando \ Bai (2017) `Clustering huge number of financial time series: A panel data approach with high-dimensional predictors and factor structures',… | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 41 scored citations.