Jiti Gao, Fei Liu, Bin Peng, Yayi Yan
arXiv 5 Feb 2025 · Econometrics
arXiv:2502.03019 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we define an underlying data generating process that allows for different magnitudes of cross-sectional dependence, along with time series autocorrelation. This is achieved via high-dimensional moving average processes of infinite order (HDMA($\infty$)). Our setup and investigation integrates and enhances homogenous and heterogeneous panel data estimation and testing in a unified way. To study HDMA($\infty$), we extend the Beveridge-Nelson decomposition to a high-dimensional time series setting, and derive a complete toolkit set. We exam homogeneity versus heterogeneity using Gaussian approximation, a prevalent technique for establishing uniform inference. For post-testing inference, we derive central limit theorems through Edgeworth expansions for both homogenous and heterogeneous settings. Additionally, we showcase the practical relevance of the established asymptotic theory by (1). connecting our results with the literature on grouping structure analysis, (2). examining a nonstationary panel data generating process, and (3). revisiting the common correlated effects (CCE) estimators. Finally, we verify our theoretical findings via extensive numerical studies using both simulated and real datasets.
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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 | Yu, Yao \ Xue (2024) `Power enhancement for testing multi-factor asset pricing models via fisher's method', Journal of Econometrics 239(2), 105458 | 1.000 | 12 | 5 | 100% |
| 2 | Pesaran (2006) `Estimation and inference in large heterogeneous panels with a multifactor error structure', Econometrica 74(4), 967–1012 | 1.000 | 11 | 5 | 100% |
| 3 | Pesaran \ Yamagata (2008) `Testing slope homogeneity in large panels', Journal of Econometrics 142(1), 50–93 | 1.000 | 10 | 5 | 100% |
| 4 | Phillips \ Moon (1999) `Linear regression limit theory for nonstationary panel data', Econometrica 67(5), 1057–1111 | 1.000 | 9 | 3 | 100% |
| 5 | Fan, Liao \ Yao (2015) `Power enhancement in high-dimensional cross-sectional tests', Econometrica 83(4), 1497–1541 | 1.000 | 7 | 3 | 100% |
| 6 | Gao, Liu, Peng \ Yan (2025) `Robust estimation and inference for high-dimensional panel data models', arXiv preprint arXiv:2405.07420 | 1.000 | 6 | 3 | 100% |
| 7 | Chernozhuokov, Chetverikov, Kato \ Koike (2022) `Improved central limit theorem and bootstrap approximations in high dimensions', The Annals of Statistics 50(5), 2562–2586 | 1.000 | 5 | 4 | 100% |
| 8 | Phillips \ Solo (1992) `Asymptotics for linear processes', The Annals of Statistics 20(2), 971–1001 | 0.928 | 4 | 4 | 100% |
| 9 | Dong, Gao \ Peng (2021) `Varying–coefficient panel data models with nonstationarity and partially observed factor structure', Journal of Business & Econ… | 0.928 | 4 | 3 | 100% |
| 10 | Tikhomirov (1981) `On the convergence rate in the central limit theorem for weakly dependent random variables', Theory of Probability & Its Applic… | 0.928 | 4 | 3 | 100% |
Showing the top 10 of 58 scored citations.