Estimation of factor-augmented panel regressions with weakly influential factors

DOI10.1080/07474938.2015.1106758zbMath1490.62479OpenAlexW570915826MaRDI QIDQ5862479

Joakim Westerlund, Simon Reese

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2015.1106758

zbMATH Keywords

common factor modelsfactor-augmented panel regressionsnon-strong common factors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Related Items (2)

A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures

Cites Work

• Are more data always better for factor analysis?
• The long-run determinants of fertility: one century of demographic change 1900--1999
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Asymptotic distribution of factor augmented estimators for panel regression
• Cross-sectional averages versus principal components
• On the estimation and inference in factor-augmented panel regressions with correlated loadings
• Weak and strong cross‐section dependence and estimation of large panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Cross-Sectional Dependence in Panel Data Analysis
• Panel Data Models With Interactive Fixed Effects
• Inferential Theory for Factor Models of Large Dimensions

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