Estimation of fractionally integrated panels with fixed effects and cross-section dependence

Ergemen, Yunus Emre; Velasco, Carlos

Estimation of fractionally integrated panels with fixed effects and cross-section dependence

Author(s): Ergemen, Yunus Emre; Velasco, Carlos

Publisher: Elsevier

Issued date: 2017-02

Citation: Ergemen, Y.E., Velasco, C. (2017). Estimation of fractionally integrated panels with fixed effects and cross-section dependence. Journal of Econometrics, v. 196, n. 2, pp. 248-258.

ISSN: 0304-4076

DOI: https://doi.org/10.1016/j.jeconom.2016.05.020

Sponsor: Financial support from the Ministerio de Economía y Competitividad (Spain), grants ECO2012-31748, ECO2014-57007p and MDM 2014-0431, and Comunidad de Madrid, MadEco-CM (S2015/HUM-3444) is gratefully acknowledged. The authors also acknowledge support from CREATES - Center for Research in Econometric Analysis of Time Series, funded by the Danish National Research Foundation (DNRF78).

Project: Gobierno de España. ECO2012-31748
Gobierno de España. ECO2014-57007P
Gobierno de España. MDM 2014-0431
Comunidad de Madrid. S2015/HUM-3444/MADECO-CM

Keywords: Fractional cointegration , Factor models , Long memory , Realized volatility , Long-range dependence , Time-series , Unit-root , Data models

JEL Classification: C22 , C23

URI: http://hdl.handle.net/10016/25234

Rights: © Elsevier
Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:

We consider a large N, T heterogeneous panel data model with fixed effects, common factors allowing for cross-section dependence, and persistent data and errors, which are assumed fractionally integrated. We propose individual and common-correlation estimates [+]

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