On the role of the rank condition in CCE estimation of factor-augmented panel regressions

DOI10.1016/j.jeconom.2016.10.006zbMath1443.62474OpenAlexW2549427166MaRDI QIDQ506045

Hande Karabiyik, Simon Reese, Joakim Westerlund

Publication date: 30 January 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.10.006

zbMATH Keywords

Moore-Penrose inverseCCE estimationfactor-augmented panel regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Numerical solutions to overdetermined systems, pseudoinverses (65F20)

Related Items (12)

Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors ⋮ F-test and z-test for high-dimensional regression models with a factor structure ⋮ A self-reliant projected information criterion for the number of factors ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ Profile GMM estimation of panel data models with interactive fixed effects ⋮ Cross-section bootstrap for CCE regressions ⋮ Canonical correlation-based model selection for the multilevel factors ⋮ Unbiased CCE estimator for interactive fixed effects panels ⋮ On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors ⋮ On the robustness of the pooled CCE estimator ⋮ Tests for the explanatory power of latent factors ⋮ Common factors and spatial dependence: an application to US house prices

Cites Work

• Panels with non-stationary multifactor error structures
• The rank of a random matrix
• Cross-sectional averages versus principal components
• Panel unit root tests in the presence of a multifactor error structure
• Weak and strong cross‐section dependence and estimation of large panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• On the Perturbation of Pseudo-Inverses, Projections and Linear Least Squares Problems
• Perturbation theory for pseudo-inverses

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