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First-differenced inference for panel factor series

Ekaterina Ipatova and Lorenzo Trapani ()

Economics Letters, 2013, vol. 118, issue 2, 364-366

Abstract: 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)
Date: 2013
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Handle: RePEc:eee:ecolet:v:118:y:2013:i:2:p:364-366