Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors

Research output: Contribution to journalArticle


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

  • Economics


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

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