Asymptotic distribution of factor augmented estimators for panel regression

DOI10.1016/j.jeconom.2012.01.003zbMath1443.62452OpenAlexW2034698389MaRDI QIDQ527972

Ryan Greenaway-McGrevy, Chirok Han, Donggyu Sul

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000048

zbMATH Keywords

cross section dependencefactor augmented estimatorfactor augmented panel regressioninteractive fixed effectsprincipal component augmented estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25)

Related Items (14)

A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence ⋮ Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks ⋮ Shrinkage estimation of dynamic panel data models with interactive fixed effects ⋮ A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ Unbiased CCE estimator for interactive fixed effects panels ⋮ On the robustness of the pooled CCE estimator ⋮ MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES ⋮ Efficient estimation of nonstationary factor models ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Identifying latent grouped patterns in panel data models with interactive fixed effects ⋮ TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS ⋮ Cross-sectional averages versus principal components ⋮ Estimation of factor-augmented panel regressions with weakly influential factors ⋮ Specification test for panel data models with interactive fixed effects

Cites Work

• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• Panel data models with multiple time-varying individual effects
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Forecasting Using Principal Components From a Large Number of Predictors
• Panel Data Models With Interactive Fixed Effects
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• GMM estimation of linear panel data models with time-varying individual effects

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