City Research Online

Abstract

We complement existing inferential theory for panel factor models by deriving the asymptotics for the first differences of the estimated factors and common components obtained from a non-stationary panel factor model. As an application, we propose an estimator for the long run variance of the common components.

Publication Type:	Article
Additional Information:	NOTICE: this is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, Volume 118, Issue 2, February 2013, Pages 364–366, http://dx.doi.org/10.1016/j.econlet.2012.11.026.
Publisher Keywords:	Non-stationary panels; Common factors; Common components; First differences
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Finance
Related URLs:	Author
SWORD Depositor:	Symplectic Administrator

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