Estimating cross-section common stochastic trends in nonstationary panel data

Journal of Econometrics

Volumn 122, Issue 1, 2004, Pages 137-183

  Bai, Jushan ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

Common stochastic trends; Dynamic factors; Generalized dynamic factor models; Nonstationary panel data; Principal components

Indexed keywords

ASYMPTOTIC STABILITY; DECISION MAKING; MATHEMATICAL MODELS; PARAMETER ESTIMATION; STATISTICS;

DYNAMIC FACTORS; GENERALIZED DYNAMIC FACTOR MODELS; NONSTATIONARY PANEL DATA; PRINCIPAL COMPONENTS;

STOCHASTIC CONTROL SYSTEMS;

EID: 3042816537     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2003.10.022     Document Type: Article

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