Estimating cross-section common stochastic trends in nonstationary panel data

By Jushan Bai. 2004

297 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4a9d420d4bc60d1b3e617d7ac7dccde8a05fd5e1

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In Economics and Econometrics

Citations in the corpus

Non-Stationary Dynamic Factor Models for Large Datasets (2016, methodology): “Second, under the assumption of I(0) idiosyncratic components, it is possible to sep- arately estimate I(1) non-cointegrated factors and I(0) factors, see Bai (2004).”
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions (2006, background): “The common practice in cross-section regressions is to assume E(e i e j ) = 0, i = j, so that Ω = plim N→∞ 1 N N i=1 λ i λ i e 2 i .”
Estimating High Dimensional Covariance Matrices and its Applications (2011, background): “Bai (2003, 2004) shows the Λ and (f1, f2, ..., fT ), up to a rotation, can be consistently estimated and derives the rates of convergence and the limiting distributions.”
Long-Run Money Demand in the New EU Member States with Exchange Rate Effects (2007, unknown): “To control for this problem, cointegration tests based on nonstationary common factors are proposed (see Bai 2004), for which factors are obtained as principal components.”
A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets (2010, background): “Following on from the pathbreaking work of Stock and Watson (2002), a series of articles by Bai (2003, 2004) and Bai and Ng (2002) have provided the theoretical foundations of static factor models for large datasets.”
Panel cointegration with global stochastic trends (2008, methodology): “The terms J6, J7, and J8 are considered in Lemma B.4 in Bai (2004) and each terms is shown to be Op ( 1 T ) +Op ( 1√ n ) = Op ( Max { 1 T , 1√ n }) = Op ( 1 δnT ) in 9 the absence of β.”
Determining the Number of Factors in the General Dynamic Factor Model (2007, methodology): “Thus, it seems that our method significantly outperforms that of Bai and Ng (2005), certainly when the possibility of AR loadings cannot be excluded.”
Unit Roots and Cointegration in Panels (2005, unknown): “As shown by Bai and Ng (2002), the principal component estimator f̂t yields a consistent estimator of the factor space as min(N, T ) → ∞.”