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A factor analytical method to interactive effects dynamic panel models with or without unit root

Westerlund, Joakim and Norkute, Milda 2014, A factor analytical method to interactive effects dynamic panel models with or without unit root, Department of Economics, Lund University, Lund, Sweden.

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Title A factor analytical method to interactive effects dynamic panel models with or without unit root
Author(s) Westerlund, Joakim
Norkute, Milda
Publication date 2014
Total pages 99
Publisher Department of Economics, Lund University
Place of Publication Lund, Sweden
Keyword(s) Interactive fixed effects
Dynamic panel data models
Unit root
Factor analytical method
Summary In a recent study, Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013a) proposes a new factor analytic (FA) method to the estimation of dynamic panel data models, which has the unique and very useful property that it is completely bias-free. However, while certainly appealing, it is restricted to fixed effects models without a unit root. In many situations of practical relevance this is a rather restrictive consideration. The purpose of the current study is therefore to extend the FA approach to cover models with multiple interactive effects and a possible unit root.
Language eng
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category A5.1 Minor research monograph
Copyright notice ©2014, Lund University
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078211

Document type: Book
Collection: Deakin Graduate School of Business
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