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Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors

Reese, Simon LU and Westerlund, Joakim LU (2015) In Econometric Reviews
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:
author
organization
publishing date
type
Contribution to journal
publication status
epub
subject
keywords
Common factor models, Factor-augmented panel regressions, Non-strong common factors
in
Econometric Reviews
pages
65 pages
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
2015-11-12 15:25:46
date last changed
2017-01-01 06:08:46
@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},
  keyword      = {Common factor models,Factor-augmented panel regressions,Non-strong common factors},
  language     = {eng},
  month        = {10},
  pages        = {65},
  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},
  year         = {2015},
}