Browsing Working Papers by Subject "Nonstationary panel data"

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Title: Common Factors in Nonstationary Panel Data with a Deterministic Trend – Estimation and Distribution Theory Author(s): MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper studies large-dimension factor models with nonstationary factors and allows for deterministic trends and factors integrated of order higher then one. We follow the model specification of Bai (2004) and derive the ...

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