| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5096067 | Journal of Econometrics | 2015 | 6 Pages |
Abstract
In spite of the increased use of factor-augmented regressions in recent years, little is known regarding the relative merits of the two main approaches to estimation and inference, namely, the cross-sectional average and principal component estimators. By providing a formal comparison of the approaches, the current paper fills this gap in the literature.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Joakim Westerlund, Jean-Pierre Urbain,