Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors
Research output: Contribution to journal › Article
The use of factor-augmented panel regressions has become very popular in recent years. Existing methods for such regressions require that the common factors are strong, an assumption that is likely to be mistaken in practice. Motivated by this, the current paper offers an analysis of the effect of weak, semi-weak and semi-strong factors on two of the most popular estimators for factor-augmented regressions, namely, principal components (PC) and common correlated effects (CCE).
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Early online date||2015 Oct 25|
|Publication status||Published - 2018 May 28|
Related research output
Simon Reese, 2017 Mar 2, Lund: Lund University (Media-Tryck). 227 p.
Research output: Thesis › Doctoral Thesis (compilation)