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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors

Author

  • Simon Reese
  • Joakim Westerlund

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