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Cross-sectional averages versus principal components

journal contribution
posted on 2015-04-01, 00:00 authored by Joakim WesterlundJoakim Westerlund, J-P Urbain
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.

History

Journal

Journal of econometrics

Volume

185

Pagination

372-377

Location

Amsterdam, The Netherlands

ISSN

0304-4076

eISSN

1872-6895

Language

eng

Publication classification

C1 Refereed article in a scholarly journal, C Journal article

Copyright notice

2014, Elsevier

Issue

2

Publisher

Elsevier