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Estimation of factor-augmented panel regressions with weakly influential factors

Reese, Simon and Westerlund, Joakim 2016, Estimation of factor-augmented panel regressions with weakly influential factors, Econometric reviews, vol. In press, pp. 1-123.

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Title Estimation of factor-augmented panel regressions with weakly influential factors
Author(s) Reese, Simon
Westerlund, Joakim
Journal name Econometric reviews
Volume number In press
Start page 1
End page 123
Total pages 123
Publisher Taylor & Francis
Place of publication New York, N.Y.
Publication date 2016
ISSN 0747-4938
Keyword(s) C12
Non-strong common factors
factor-augmented panel regressions
common factor models
Summary 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, such that their cumulative loadings rise proportionally to the number of cross-sectional units, which of course need not be the case in practice. Motivated by this, the current paper offers an indepth analysis of the effect of non-strong factors on two of the most popular estimators for factor-augmented regressions, namely, principal components (PC) and common correlated effects (CCE).
Language eng
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
Copyright notice ©2016, Taylor & Francis
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Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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