Asymptotic distribution of factor augmented estimators for panel regression
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Greenaway-McGrevy, Ryan | - |
dc.contributor.author | Han, Chirok | - |
dc.contributor.author | Sul, Donggyu | - |
dc.date.accessioned | 2021-09-06T18:18:18Z | - |
dc.date.available | 2021-09-06T18:18:18Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2012-07 | - |
dc.identifier.issn | 0304-4076 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/108078 | - |
dc.description.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/T-3 -> 0 under regularity. Monte Carlo studies verify the asymptotic theory. Published by Elsevier B.V. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.subject | FACTOR MODELS | - |
dc.subject | INFERENCE | - |
dc.subject | NUMBER | - |
dc.title | Asymptotic distribution of factor augmented estimators for panel regression | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Han, Chirok | - |
dc.identifier.doi | 10.1016/j.jeconom.2012.01.003 | - |
dc.identifier.wosid | 000306046900006 | - |
dc.identifier.bibliographicCitation | JOURNAL OF ECONOMETRICS, v.169, no.1, pp.48 - 53 | - |
dc.relation.isPartOf | JOURNAL OF ECONOMETRICS | - |
dc.citation.title | JOURNAL OF ECONOMETRICS | - |
dc.citation.volume | 169 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 48 | - |
dc.citation.endPage | 53 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.subject.keywordPlus | FACTOR MODELS | - |
dc.subject.keywordPlus | INFERENCE | - |
dc.subject.keywordPlus | NUMBER | - |
dc.subject.keywordAuthor | Factor augmented panel regression | - |
dc.subject.keywordAuthor | Factor augmented estimator | - |
dc.subject.keywordAuthor | Principal component augmented estimator | - |
dc.subject.keywordAuthor | Cross section dependence | - |
dc.subject.keywordAuthor | Interactive fixed effects | - |
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