On the role of the rank condition in CCE estimation of factor-augmented panel regressions

DOI10.1016/J.JECONOM.2016.10.006MaRDI QIDQ506045zbMATH OpenOpenAlexFDO

Authors Hande Karabiyik, Simon Reese, Joakim Westerlund

Publication date 30 January 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2016.10.006

zbMATH Keywords

Moore-Penrose inverseCCE estimationfactor-augmented panel regression

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Numerical solutions to overdetermined systems, pseudoinverses (65F20)

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Cites work

• Cross-sectional averages versus principal components
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• On the Perturbation of Pseudo-Inverses, Projections and Linear Least Squares Problems
• Panel unit root tests in the presence of a multifactor error structure
• Panels with non-stationary multifactor error structures
• Perturbation theory for pseudo-inverses
• The rank of a random matrix
• Weak and strong cross-section dependence and estimation of large panels

Cited in

(22)

• Asymptotic distribution of factor augmented estimators for panel regression
• The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation
• An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
• Tests for the explanatory power of latent factors
• Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
• The factor analytical approach in near unit root interactive effects panels
• Moment-based estimation of linear panel data models with factor-augmented errors
• Estimation of factor-augmented panel regressions with weakly influential factors
• Canonical correlation-based model selection for the multilevel factors
• On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
• F-test and z-test for high-dimensional regression models with a factor structure
• A method to evaluate the rank condition for CCE estimators
• On the estimation and inference in factor-augmented panel regressions with correlated loadings
• On the robustness of the pooled CCE estimator
• Two-step estimation of quantile panel data models with interactive fixed effects
• Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
• Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
• Unbiased CCE estimator for interactive fixed effects panels
• Profile GMM estimation of panel data models with interactive fixed effects
• A self-reliant projected information criterion for the number of factors
• Common factors and spatial dependence: an application to US house prices
• Cross-section bootstrap for CCE regressions

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