Asymptotic distribution of factor augmented estimators for panel regression

A-Tier
Journal: Journal of Econometrics
Year: 2012
Volume: 169
Issue: 1
Pages: 48-53

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this paper we derive an asymptotic theory for linear panel regression augmented with estimated common factors. We give conditions under which the estimated factors can be used in place of the latent factors in the regression equation. For the principal components estimate of the factor space it is shown that these conditions are satisfied when T/N→0 and N/T3→0 under regularity. Monte Carlo studies verify the asymptotic theory.

Technical Details

RePEc Handle
repec:eee:econom:v:169:y:2012:i:1:p:48-53
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25