Illuminating the factor and dependence structure in large panel models

Jan Ditzen

London Stata Conference 2022 from Stata Users Group

Abstract: In panel models a precise understanding about the number of common factors and dependence across the cross-sectional dimension is key for any applied work. This talk will give an overview about how to estimate the number of common factors and how to test for cross-sectional dependence. It does so by presenting two community contribute commands: xtnumfac and xtcd2. xtnumfac implements 10 different methods to estimate the number of factors, among them the popular methods by Bai & Ng (2002) and Ahn & Horenstein (2013). The degree of cross-section dependence is investigated using xtcd2. xtcd2 allows implements three different tests for cross-section dependence, based on Pesaran (2015), Juodis & Reese (2021) and Pesaran & Xie (2021). The talk includes a review of the theory, a discussion of the commands and empirical examples.

Date: 2022-09-10
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Citations: View citations in EconPapers (1)

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http://repec.org/lsug2022/uk2022_ditzen.pdf

Related works:
Working Paper: Illuminating the factor and dependence structure in large panel models (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:lsug22:18

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