I am most grateful to a co-editor and three anonymous referees for their helpful suggestions and constructive comments on earlier versions of this paper. I would also like to thank George Kapetanios, Yongcheol Shin, Ron Smith, Til Schuermann, Elisa Tosetti, and Takashi Yamagata for helpful comments and discussions on the current version. Takashi Yamagata also carried out the computations of the Monte Carlo results reported in the paper most efficiently and beyond the call of duty. Financial support from the ESRC (Grant RES-000-23-0135) is gratefully acknowledged.
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
Version of Record online: 19 JUN 2006
Volume 74, Issue 4, pages 967–1012, July 2006
How to Cite
Pesaran, M. H. (2006), Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74: 967–1012. doi: 10.1111/j.1468-0262.2006.00692.x
- Issue online: 19 JUN 2006
- Version of Record online: 19 JUN 2006
- Manuscript received October, 2002; final revision received February, 2006.
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