Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors
Författare
Summary, in English
The use of factor-augmented panel regressions has become very popular in recent years. Existing methods for such regressions require that the common factors are strong, an assumption that is likely to be mistaken in practice. Motivated by this, the current paper offers an analysis of the effect of weak, semi-weak and semi-strong factors on two of the most popular estimators for factor-augmented regressions, namely, principal components (PC) and common correlated effects (CCE).
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2018-05-28
Språk
Engelska
Sidor
401-465
Publikation/Tidskrift/Serie
Econometric Reviews
Volym
37
Issue
5
Dokumenttyp
Artikel i tidskrift
Förlag
Taylor & Francis
Ämne
- Economics
Nyckelord
- Common factor models
- Factor-augmented panel regressions
- Non-strong common factors
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0747-4938