Journal: Econometric Reviews

Abbreviation

Econom. rev.

Publisher

Taylor & Francis

Journal Volumes

ISSN

0747-4938
1532-4168

Description

Filters

2013 - 201922020 - 20241
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Publications 1 - 3 of 3
  • A Generalized Spatial Panel Data Model with Random Effects
    Item type: Journal Article
    Egger, Peter; Baltagi, Badi; Pfaffermayr, Michael (2013)
    Econometric Reviews
  • Selecting the number of factors in approximate factor models using group variable regularization
    Item type: Journal Article
    Daniele, Maurizio (2024)
    Econometric Reviews
    We propose a novel method for the estimation of the number of factors in approximate factor models. The model is based on a penalized maximum likelihood approach incorporating an adaptive hierarchical lasso penalty function that enables setting entire columns of the factor loadings matrix to zero, which corresponds to removing uninformative factors. Additionally, the model is capable of estimating weak factors by allowing for sparsity in the non zero columns. We prove that the proposed estimator consistently estimates the true number of factors. Simulation experiments reveal superior selection accuracies for our method in finite samples over existing approaches, especially for data with cross-sectional and serial correlations. In an empirical application on a large macroeconomic dataset, we show that the mean squared forecast errors of an approximate factor model are lower if the number of included factors is selected by our method.
  • On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors
    Item type: Journal Article
    Drukker, David M.; Egger, Peter; Prucha, Ingmar R. (2013)
    Econometric Reviews
Publications 1 - 3 of 3