On the estimation and inference in factor-augmented panel regressions with correlated loadings

By Joakim Westerlund, J. Urbain. 2013

87 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/6f5fa2a64d59abb0d1c7b8e785550f7fbe38b893

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In Economics and Econometrics

1. Simon Reese
2. Artūras Juodis

Citations in the corpus

• The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation (2018, background): “…is agnostic about the true number of factors that affect the data, it has been shown that consistent estimation of the parameters of interest requires that the number of crosssection averages is at least as large as the true number of factors that drive the data (Westerlund and Urbain 2013).”