Estimation of factor-augmented panel regressions with weakly influential factors
DOI10.1080/07474938.2015.1106758zbMATH Open1490.62479OpenAlexW570915826MaRDI QIDQ5862479FDOQ5862479
Authors: Simon Reese, Joakim Westerlund 
Publication date: 9 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2015.1106758
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Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)
Cites Work
- Are more data always better for factor analysis?
- Inferential Theory for Factor Models of Large Dimensions
- Weak and strong cross-section dependence and estimation of large panels
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Panel data models with interactive fixed effects
- The long-run determinants of fertility: one century of demographic change 1900--1999
- Cross-Sectional Dependence in Panel Data Analysis
- Asymptotic distribution of factor augmented estimators for panel regression
- Cross-sectional averages versus principal components
- On the estimation and inference in factor-augmented panel regressions with correlated loadings
Cited In (8)
- Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures
- Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors
- Cross-sectional averages versus principal components
- On the estimation and inference in factor-augmented panel regressions with correlated loadings
- A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data
- Recent development in the econometric theory of factor models
- Asymptotic distribution of factor augmented estimators for panel regression
- On the role of the rank condition in CCE estimation of factor-augmented panel regressions
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