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Asymptotic distribution of factor augmented estimators for panel regression
- Greenaway-McGrevy, Ryan;
- Han, Chirok;
- Sul, Donggyu
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61초록
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.
키워드
Factor augmented panel regression; Factor augmented estimator; Principal component augmented estimator; Cross section dependence; Interactive fixed effects; FACTOR MODELS; INFERENCE; NUMBER
- 제목
- Asymptotic distribution of factor augmented estimators for panel regression
- 저자
- Greenaway-McGrevy, Ryan; Han, Chirok; Sul, Donggyu
- 발행일
- 2012-07
- 유형
- Article
- 권
- 169
- 호
- 1
- 페이지
- 48 ~ 53