Testing factors in CCE

DOI10.1016/J.ECONLET.2023.111245MaRDI QIDQ6093784zbMATH OpenFDO

Authors Nicholas Brown, Joakim Westerlund

Publication date 12 September 2023

Published in Economics Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/J.ECONLET.2023.111245

zbMATH Keywords

CCE estimationfactor model selectioninteractive effects models

Mathematics Subject Classification ID

Statistics (62-XX) Labor markets (91B39)

Cites work

• Determining the Number of Factors in Approximate Factor Models
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Evaluating latent and observed factors in macroeconomics and finance
• High-dimensional consistencies of KOO methods in multivariate regression model and discriminant analysis
• Linear regression for panel with unknown number of factors as interactive fixed effects

Cited in

(2)

• Moment-based estimation of linear panel data models with factor-augmented errors
• A simple reformulation of the common correlated effects model

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