Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes

Feng Qu

ISBN 10: 9811220778 / ISBN 13: 9789811220777

Published by World Scientific Publishing Company, Incorporated, 2020

About this Item

Seller Inventory # 18378552660

Bibliographic Details

• Title: Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes
• Publisher: World Scientific Publishing Company, Incorporated
• Publication Date: 2020
• Language: English
• ISBN 10: 9811220778
• ISBN 13: 9789811220777
• Binding: Hardcover
• Condition: Used

About this title

Synopsis

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.