Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence

By Peter C. B. Phillips, Donggyu Sul. 2002

1,170 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3aace9b5b90896b5277b896c67153b81fd098c03

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In Economics and Econometrics

Citations in the corpus

Incidental Trends and the Power of Panel Unit Root Tests (2007, methodology): “Accordingly, more recent panel tests such as those in Bai and Ng (2004) ; Moon and Perron (2004), Phillips and Sul (2003) ; Chang (2002), and Pesaran (2005) allow for the presence of cross-sectional dependence among the units, typically through the presence of dynamic factors.”
A Simple Panel-CADF Test for Unit Roots (2013, neutral): “…the proposed DGP is especially interesting, because it can be viewed as a panel extension of the DGP proposed in Hansen (1995, p. 1161) and at the same time is also a generalization of two DGPs commonly used in the panel unit root literature (see e.g. Chang and Song, 2009; Phillips and Sul, 2003).”
Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling (2009, neutral): “j=1 ^ ! 0 ij PT t=p+1 ^ 2 i;t 1 ; ( 22 ) tfglsrma =”
PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION (2009, neutral): “The one used in Phillips and Sul (2003) is a special case of (1) as they only allow for one factor, and the idiosyncratic errors are independently distributed across time.”
Large Dimensional Factor Analysis (2008, methodology): “What are the alternatives to the principal components estimator? For static factor models, the maximum likelihood estimator via EM (expectation and maximization) algorithm has been considered by many authors, for example, Rubin and Thayer (1982), Lehmann and Modest (1988), and Ghahramani and Hinton ”
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006, methodology): “and Cw p ! C = ~ 1 0 Ik ; as N !1; (24)”
Inflation and financial development: evidence from Brazil (2007, background): “This distinction is relevant because, as Phillips and Sul (2003) point out, if between-region dependence is large, there is little gain in actually pooling the data, instead of using the time-series variation, as in SUR-FGLS estimator.”
A simple panel unit root test in the presence of cross-section dependence (2007, positive): “Our approach should be seen as providing a simple alternative to the orthogonalization type procedures advanced in the literature by Bai and Ng (2004), Moon and Perron (2004), and Phillips and Sul (2003).”