On the role of the rank condition in CCE estimation of factor-augmented panel regressions
DOI10.1016/J.JECONOM.2016.10.006zbMATH Open1443.62474OpenAlexW2549427166MaRDI QIDQ506045FDOQ506045
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
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Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Numerical solutions to overdetermined systems, pseudoinverses (65F20)
Cites Work
- Weak and strong cross-section dependence and estimation of large panels
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Panels with non-stationary multifactor error structures
- On the Perturbation of Pseudo-Inverses, Projections and Linear Least Squares Problems
- Panel unit root tests in the presence of a multifactor error structure
- Perturbation theory for pseudo-inverses
- The rank of a random matrix
- Cross-sectional averages versus principal components
Cited In (22)
- On the robustness of the pooled CCE estimator
- Unbiased CCE estimator for interactive fixed effects panels
- A method to evaluate the rank condition for CCE estimators
- Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
- Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
- Common factors and spatial dependence: an application to US house prices
- A self-reliant projected information criterion for the number of factors
- On the estimation and inference in factor-augmented panel regressions with correlated loadings
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- Tests for the explanatory power of latent factors
- 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
- The factor analytical approach in near unit root interactive effects panels
- F-test and z-test for high-dimensional regression models with a factor structure
- On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
- Moment-based estimation of linear panel data models with factor-augmented errors
- Canonical correlation-based model selection for the multilevel factors
- Asymptotic distribution of factor augmented estimators for panel regression
- Profile GMM estimation of panel data models with interactive fixed effects
- Two-step estimation of quantile panel data models with interactive fixed effects
- Estimation of factor-augmented panel regressions with weakly influential factors
- Cross-section bootstrap for CCE regressions
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