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econ.EM2024
Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors
Diego Fresoli, Pilar Poncela, Esther Ruiz
In this paper, we propose a computationally simple estimator of the asymptotic covariance matrix of the Principal Components (PC) factors valid in the presence of cross-correlated…
econ.EM2022★ 2 cited
Economic activity and climate change
Aránzazu de Juan, Pilar Poncela, Vladimir Rodríguez-Caballero +1
In this paper, we survey recent econometric contributions to measure the relationship between economic activity and climate change. Due to the critical relevance of these effects f…