Estimation of factor-augmented panel regressions with weakly influential factors

DOI10.1080/07474938.2015.1106758MaRDI QIDQ5862479zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

common factor modelsfactor-augmented panel regressionsnon-strong common factors

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Recommendations

• Asymptotic distribution of factor augmented estimators for panel regression
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Cites work

• Are more data always better for factor analysis?
• Asymptotic distribution of factor augmented estimators for panel regression
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Cross-Sectional Dependence in Panel Data Analysis
• Cross-sectional averages versus principal components
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Inferential Theory for Factor Models of Large Dimensions
• On the estimation and inference in factor-augmented panel regressions with correlated loadings
• Panel data models with interactive fixed effects
• The long-run determinants of fertility: one century of demographic change 1900--1999
• Weak and strong cross-section dependence and estimation of large panels

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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