Estimation of fractionally integrated panels with fixed effects and cross-section dependence
研究了大N大T的异质性面板数据模型，包含固定效应和共同因子导致的截面依赖，数据与误差假设为分整过程，提出了斜率参数的个体和共同相关估计方法，并应用于实际波动率持续性分析。
We consider a large N, T heterogeneous panel data model with fixed effects, common factors allowing for cross-section dependence, and persistent data and errors, which are assumed fractionally integrated. We propose individual and common-correlation estimates for the slope parameters while error memory parameters are estimated from regression residuals. The individual parameter estimates are all consistent, asymptotically normal and mutually uncorrelated, irrespective of cointegration between defactored observables. A study of small-sample performance and an empirical application to realized volatility persistence are included. (C) 2016 Elsevier B.V. All rights reserved.