Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors
(2018) In Econometric Reviews 37(5). p.401-465- Abstract
- 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).
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/8167888
- author
- Reese, Simon LU and Westerlund, Joakim LU
- organization
- publishing date
- 2018-05-28
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Common factor models, Factor-augmented panel regressions, Non-strong common factors
- in
- Econometric Reviews
- volume
- 37
- issue
- 5
- pages
- 401 - 465
- publisher
- Taylor & Francis
- external identifiers
-
- scopus:84964647512
- ISSN
- 0747-4938
- DOI
- 10.1080/07474938.2015.1106758
- language
- English
- LU publication?
- yes
- id
- acc424cc-f7d0-4c88-8906-ec7d547519a9 (old id 8167888)
- date added to LUP
- 2016-04-01 14:15:14
- date last changed
- 2022-03-21 23:01:04
@article{acc424cc-f7d0-4c88-8906-ec7d547519a9, abstract = {{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).}}, author = {{Reese, Simon and Westerlund, Joakim}}, issn = {{0747-4938}}, keywords = {{Common factor models; Factor-augmented panel regressions; Non-strong common factors}}, language = {{eng}}, month = {{05}}, number = {{5}}, pages = {{401--465}}, publisher = {{Taylor & Francis}}, series = {{Econometric Reviews}}, title = {{Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors}}, url = {{http://dx.doi.org/10.1080/07474938.2015.1106758}}, doi = {{10.1080/07474938.2015.1106758}}, volume = {{37}}, year = {{2018}}, }