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

DOI10.1080/07350015.2021.2011300MaRDI QIDQ6586906zbMATH OpenFDO

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

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

Cited in

(1)

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

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