المستودع الأكاديمي جامعة المدينة

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

أعرض تسجيلة المادة بشكل مبسط

dc.creator Kapetanios, George
dc.creator Pesaran, Mohammad Hashem
dc.date 2005
dc.date.accessioned 2013-10-16T07:01:19Z
dc.date.available 2013-10-16T07:01:19Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/18780
dc.identifier ppn:484401165
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/18780
dc.description This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross section dependence. A popular method for modelling such dependence uses a factor error structure. Such models raise new problems for estimation and inference. This paper compares two alternative methods for carrying out estimation and inference in panels with a multifactor error structure. One uses the correlated common effects estimator that proxies the unobserved factors by cross section averages of the observed variables as suggested by Pesaran (2004), and the other uses principal components following the work of Stock and Watson (2002). The paper develops the principal component method and provides small sample evidence on the comparative properties of these estimators by means of extensive Monte Carlo experiments. An empirical application to company returns provides an illustration of the alternative estimation procedures.
dc.language eng
dc.relation CESifo working papers 1416
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject C33
dc.subject C13
dc.subject C12
dc.subject ddc:330
dc.subject cross section dependence
dc.subject large panels
dc.subject principal components
dc.subject common correlated effects
dc.subject return equations
dc.subject Panel
dc.subject Schätztheorie
dc.subject Faktorenanalyse
dc.subject Stichprobenverfahren
dc.subject Kapitalertrag
dc.subject Börsenkurs
dc.subject Schätzung
dc.subject Theorie
dc.subject Welt
dc.title Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
dc.type doc-type:workingPaper


الملفات في هذه المادة

الملفات الحجم الصيغة عرض

لا توجد أي ملفات مرتبطة بهذه المادة.

هذه المادة تبدو في المجموعات التالية:

أعرض تسجيلة المادة بشكل مبسط