Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors

Research output: Contribution to journalArticle

Abstract

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).

Details

Authors
Organisations
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics

Keywords

  • Common factor models, Factor-augmented panel regressions, Non-strong common factors
Original languageEnglish
Pages (from-to)401-465
JournalEconometric Reviews
Volume37
Issue number5
Early online date2015 Oct 25
Publication statusPublished - 2018 May 28
Publication categoryResearch
Peer-reviewedYes

Related research output

Simon Reese, 2017 Mar 2, Lund: Lund University (Media-Tryck). 227 p.

Research output: ThesisDoctoral Thesis (compilation)

View all (1)