Asymptotic Distribution of Factor Augmented Estimators for Panel Regression∗
نویسنده
چکیده
In this paper we derive 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 component estimates of the factor space it is shown that these conditions are satisified when T/N → 0 and N/T 3 → 0 under regularity. Monte-Carlo studies verify the asymptotic theory.
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تاریخ انتشار 2010