Estimation and testing of the factor-augmented panel regression models with missing data

Xiao Difa (), Wang Lu () and Wu Jianhong ()
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Xiao Difa: Shanghai Normal University, Shanghai 200234, China
Wang Lu: Shanghai Normal University, Shanghai 200234, China
Wu Jianhong: Shanghai Normal University, Shanghai 200234, China

Studies in Nonlinear Dynamics & Econometrics, 2024, vol. 28, issue 4, 583-604

Abstract: This paper focuses on the factor-augmented panel regression models with missing data and individual-varying factors. A so-called CCEM estimator for the slope coefficient is proposed and its asymptotic properties are investigated under some regularity conditions. Furthermore, a joint test statistic is constructed for serial correlation and heteroscedasticity in the idiosyncratic errors. Under the null hypothesis, the test statistic can be shown to be asymptotically chi-square distributed. Monte Carlo simulation results show that the proposed estimator and test statistic have desired performance in finite samples.

Keywords: estimation; factor-augmented regression models; individual-varying factors; missing data; test (search for similar items in EconPapers)
JEL-codes: C12 C13 C33 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1515/snde-2022-0042

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