First-differenced inference for panel factor series
Ekaterina Ipatova and
Lorenzo Trapani ()
Economics Letters, 2013, vol. 118, issue 2, 364-366
We complement existing inferential theory for panel factor models by deriving the asymptotics for the first differences of the estimated factors and common components obtained from a non-stationary panel factor model. As an application, we propose an estimator for the long run variance of the common components.
Keywords: Non-stationary panels; Common factors; Common components; First differences (search for similar items in EconPapers)
JEL-codes: C13 C23 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:2:p:364-366
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