Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

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).

Detaljer

Författare
Enheter & grupper
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Nationalekonomi

Nyckelord

Originalspråkengelska
Sidor (från-till)401-465
TidskriftEconometric Reviews
Volym37
Utgåva nummer5
Tidigt onlinedatum2015 okt 25
StatusPublished - 2018 maj 28
PublikationskategoriForskning
Peer review utfördJa

Relaterad forskningsoutput

Simon Reese, 2017 mar 2, Lund: Lund University (Media-Tryck). 227 s.

Forskningsoutput: AvhandlingDoktorsavhandling (sammanläggning)

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