Cross-sectional averages versus principal components

Westerlund, Joakim and Urbain, Jean-Pierre 2015, Cross-sectional averages versus principal components, Journal of econometrics, vol. 185, no. 2, pp. 372-377, doi: 10.1016/j.jeconom.2014.09.014.

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Title Cross-sectional averages versus principal components
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim
Urbain, Jean-Pierre
Journal name Journal of econometrics
Volume number 185
Issue number 2
Start page 372
End page 377
Total pages 6
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2015-04
ISSN 0304-4076
Keyword(s) Common factor models
Cross-section averages
Cross-section dependence
Factor-augmented panel regressions
Principal components
Social Sciences
Science & Technology
Physical Sciences
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Business & Economics
Mathematical Methods In Social Sciences
Summary In spite of the increased use of factor-augmented regressions in recent years, little is known regarding the relative merits of the two main approaches to estimation and inference, namely, the cross-sectional average and principal component estimators. By providing a formal comparison of the approaches, the current paper fills this gap in the literature.
Language eng
DOI 10.1016/j.jeconom.2014.09.014
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, Elsevier
Persistent URL

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
2018 ERA Submission
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