Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096389 | Journal of Econometrics | 2012 | 6 Pages |
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/Nâ0 and N/T3â0 under regularity. Monte Carlo studies verify the asymptotic theory.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ryan Greenaway-McGrevy, Chirok Han, Donggyu Sul,