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Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes by Feng Qu

Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes

by Feng Qu , Chihwa Kao
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Book cover type: Hardcover
  • ISBN13: 9789811220777
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: World Scientific Publishing Company
  • Publisher Imprint: World Scientific Publishing Company
  • Publication Date:
  • Pages: 168
  • Original Price: USD 78.0
  • Language: English
  • Edition: N/A
  • Item Weight: 395 grams
  • BISAC Subject(s): Econometrics

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.

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