Estimation of fractionally integrated panels with fixed effects and cross-section dependence

Yunus Emre Ergemen and Carlos Velasco

Journal of Econometrics, 2017, vol. 196, issue 2, 248-258

Abstract: We consider a large N,T heterogeneous panel data model with fixed effects, common factors allowing for cross-section dependence, and persistent data and errors, which are assumed fractionally integrated. We propose individual and common-correlation estimates for the slope parameters while error memory parameters are estimated from regression residuals. The individual parameter estimates are all T consistent, asymptotically normal and mutually uncorrelated, irrespective of cointegration between defactored observables. A study of small-sample performance and an empirical application to realized volatility persistence are included.

Keywords: Fractional cointegration; Factor models; Long memory; Realized volatility (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (21)

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Related works:
Working Paper: Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:196:y:2017:i:2:p:248-258

DOI: 10.1016/j.jeconom.2016.05.020

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