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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 UrbainIn 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 econometricsVolume
185Issue
2Pagination
372 - 377Publisher
ElsevierLocation
Amsterdam, The NetherlandsPublisher DOI
ISSN
0304-4076eISSN
1872-6895Language
engPublication classification
C1 Refereed article in a scholarly journal; C Journal articleCopyright notice
2014, ElsevierUsage metrics
Categories
Keywords
Common factor modelsCross-section averagesCross-section dependenceFactor-augmented panel regressionsPrincipal componentsSocial SciencesScience & TechnologyPhysical SciencesEconomicsMathematics, Interdisciplinary ApplicationsSocial Sciences, Mathematical MethodsBusiness & EconomicsMathematicsMathematical Methods In Social SciencesMODELS