Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes
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A01=Chihwa Kao
A01=Feng Qu
Author_Chihwa Kao
Author_Feng Qu
Category=KCH
Common Break
Correlated Effects
Endogeneity
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Factor Model
Grouped Pattern
Iterated Principal Components
K-means
LASSO
Structural Change
Product details
- ISBN 9789811220777
- Publication Date: 17 Sep 2020
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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This book aims to fill the gap between panel data econometrics textbooks, and the latest development on "big data", especially large-dimensional panel data econometrics. It introduces important research questions in large panels, including testing for cross-sectional dependence, estimation of factor-augmented panel data models, structural breaks in panels and group patterns in panels. To tackle these high dimensional issues, some techniques used in Machine Learning approaches are also illustrated. Moreover, the Monte Carlo experiments, and empirical examples are also utilised to show how to implement these new inference methods. Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes also introduces new research questions and results in recent literature in this field.
