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On the estimation and inference in factor-augmented panel regressions with correlated loadings

Westerlund, Joakim and Urbain, Jean-Pierre 2013, On the estimation and inference in factor-augmented panel regressions with correlated loadings, Economics letters, vol. 119, no. 3, pp. 247-250, doi: 10.1016/j.econlet.2013.03.022.

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Title On the estimation and inference in factor-augmented panel regressions with correlated loadings
Author(s) Westerlund, Joakim
Urbain, Jean-Pierre
Journal name Economics letters
Volume number 119
Issue number 3
Start page 247
End page 250
Total pages 4
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2013-06
ISSN 0165-1765
1873-7374
Keyword(s) factor-augmented panel regressions
common factor models
cross-sectional averages
cross-sectional dependence
Summary In an influential paper, Pesaran [Pesaran, M.H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74, 967–1012] proposes a very simple estimator of factor-augmented regressions that has since then become very popular. In this note we demonstrate how the presence of correlated factor loadings can render this estimator inconsistent.
Language eng
DOI 10.1016/j.econlet.2013.03.022
Field of Research 140304 Panel Data Analysis
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2013, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30058015

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Mon, 25 Nov 2013, 08:56:49 EST by Katrina Fleming

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