Introduction

Qu Feng and Chihwa Kao

Chapter 1 in Large-Dimensional Panel Data Econometrics:Testing, Estimation and Structural Changes, 2020, pp 1-5 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book is motivated by the recent development in high-dimensional panel data models with large amount of individuals/countries (n) and observations over time (T). Specifically, it introduces four important research topics in large panels, including testing for cross-sectional dependence, estimation of factor-augmented panel data models, structural changes and group patterns in panels in the following four chapters. To address these issues, we examine the properties of traditional tests and estimators in large-dimensional setup. In addition, we also take advantage of some techniques in Random Matrix Theory and Machine Learning…

Keywords: Correlated Effects; Factor Model; Iterated Principal Components; Structural Change; Common Break; Grouped Pattern; K-means; LASSO; Endogeneity (search for similar items in EconPapers)
JEL-codes: C01 (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811220784_0001 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811220784_0001 (text/html)
Ebook Access is available upon purchase.

Related works:
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:wsi:wschap:9789811220784_0001

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().