A new estimator recovers the number and coefficients of common long-run relations from eigenvalues and eigenvectors of a pooled covariance matrix of sub-sample time averages, in panels where n is much larger than T.
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Analysis of Multiple Long-Run Relations in Panel Data Models
A new estimator recovers the number and coefficients of common long-run relations from eigenvalues and eigenvectors of a pooled covariance matrix of sub-sample time averages, in panels where n is much larger than T.