Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors
Author
Summary, in English
The use of factor-augmented panel regressions has become very popular in recent years. Existing methods for such regressions require that the common factors are strong, an assumption that is likely to be mistaken in practice. Motivated by this, the current paper offers an analysis of the effect of weak, semi-weak and semi-strong factors on two of the most popular estimators for factor-augmented regressions, namely, principal components (PC) and common correlated effects (CCE).
Department/s
- Department of Economics
Publishing year
2018-05-28
Language
English
Pages
401-465
Publication/Series
Econometric Reviews
Volume
37
Issue
5
Document type
Journal article
Publisher
Taylor & Francis
Topic
- Economics
Keywords
- Common factor models
- Factor-augmented panel regressions
- Non-strong common factors
Status
Published
ISBN/ISSN/Other
- ISSN: 0747-4938