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

DOI10.1016/j.econlet.2013.03.022zbMath1283.62072OpenAlexW2093507892MaRDI QIDQ2439796

Jean-Pierre Urbain, Joakim Westerlund

Publication date: 17 March 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2013.03.022

zbMATH Keywords

cross-sectional dependencecommon factor modelscross-sectional averagesfactor-augmented panel regressions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Nonparametric estimation (62G05) Statistical methods; economic indices and measures (91B82)

Related Items

Inferences in panel data with interactive effects using large covariance matrices ⋮ Time-specific average estimation of dynamic panel regressions ⋮ Linear panel regressions with two-way unobserved heterogeneity ⋮ Likelihood approach to dynamic panel models with interactive effects ⋮ Cross-section bootstrap for CCE regressions ⋮ Estimation of heterogeneous panels with structural breaks ⋮ Theory and methods of panel data models with interactive effects ⋮ On the robustness of the pooled CCE estimator ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects ⋮ Estimation of factor-augmented panel regressions with weakly influential factors ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

• Panels with non-stationary multifactor error structures
• Weak and strong cross‐section dependence and estimation of large panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Useful matrix transformations for panel data analysis: a survey
• Panel Data Models With Interactive Fixed Effects