Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors

DOI10.1080/07350015.2021.2011300zbMATH Open1542.62128MaRDI QIDQ6586906FDOQ6586906

Authors: Jad Beyhum, Eric Gautier 

Publication date: 13 August 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Determining the Number of Factors in Approximate Factor Models
• Eigenvalue ratio test for the number of factors
• Weak and strong cross-section dependence and estimation of large panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Double/debiased machine learning for treatment and structural parameters
• Analysis of individual differences in multidimensional scaling via an \(n\)-way generalization of ``Eckart-Young decomposition
• Panel data models with interactive fixed effects
• Tensor Decompositions and Applications
• Linear regression for panel with unknown number of factors as interactive fixed effects
• A Multilinear Singular Value Decomposition
• Time series and panel data econometrics
• Dynamic linear panel regression models with interactive fixed effects
• Asymptotic distribution of factor augmented estimators for panel regression
• Estimation of factor-augmented panel regressions with weakly influential factors
• Double instrumental variable estimation of interaction models with big data

Cited In (1)

• Testing for sparse idiosyncratic components in factor-augmented regression models

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