Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "factor models"
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Testing for a Unit Root in Panels with Dynamic Factors
(Université de Montréal. Département de sciences économiques., 2002)This paper studies testing for a unit root for large n and T panels in which the cross-sectional units are correlated. To model this cross-sectional correlation, we assume that the data is generated by an unknown number of unobservable common factors. ...