Asymptotic distribution of factor augmented estimators for panel regression

Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul ()

Journal of Econometrics, 2012, vol. 169, issue 1, 48-53

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/N→0 and N/T3→0 under regularity. Monte Carlo studies verify the asymptotic theory.

Keywords: Factor augmented panel regression; Factor augmented estimator; Principal component augmented estimator; Cross section dependence; Interactive fixed effects (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (132)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:169:y:2012:i:1:p:48-53

DOI: 10.1016/j.jeconom.2012.01.003

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