EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407616301737
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:196:y:2017:i:2:p:248-258

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-10-06
Handle: RePEc:eee:econom:v:196:y:2017:i:2:p:248-258