On the estimation and inference in factor-augmented panel regressions with correlated loadings
Data(s) |
01/06/2013
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Resumo |
In an influential paper, Pesaran [Pesaran, M.H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74, 967–1012] proposes a very simple estimator of factor-augmented regressions that has since then become very popular. In this note we demonstrate how the presence of correlated factor loadings can render this estimator inconsistent. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30058015/westerlund-ontheestimation-2013.pdf http://dro.deakin.edu.au/eserv/DU:30058015/westerlund-ontheestimation-evid-2013.doc http://dx.doi.org/10.1016/j.econlet.2013.03.022 |
Direitos |
2013, Elsevier |
Palavras-Chave | #factor-augmented panel regressions #common factor models #cross-sectional averages #cross-sectional dependence |
Tipo |
Journal Article |