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Dynamic common factors in large cross-sections

✍ Scribed by Mario Rorni; Lucrezia Reichlin

Book ID
105117291
Publisher
Springer-Verlag
Year
1996
Tongue
English
Weight
695 KB
Volume
21
Category
Article
ISSN
0377-7332

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## Abstract Recently, considerable emphasis has been placed on the problems arising out of cross‐sectional dependence in panel unit root tests. This paper adopts the factor‐based cross‐sectional dependence paradigm of Bai and Ng (2005) but suggests alternative factor extraction methods. Some theore