کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095486 1376465 2017 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the role of the rank condition in CCE estimation of factor-augmented panel regressions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
On the role of the rank condition in CCE estimation of factor-augmented panel regressions
چکیده انگلیسی
A popular approach to factor-augmented panel regressions is the common correlated effects (CCE) estimator of Pesaran (2006). This paper points to a problem with the CCE approach that appears in the empirically relevant case when the number of factors is strictly less than the number of observables used in their estimation. Specifically, the use of too many observables causes the second moment matrix of the estimated factors to become asymptotically singular, an issue that has not yet been appropriately accounted for. The purpose of the present paper is to fill this gap in the literature.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 197, Issue 1, March 2017, Pages 60-64
نویسندگان
, , ,