Cross-sectional averages versus principal components

In spite of the increased use of factor-augmented regressions in recent years, little is known regarding the relative merits of the two main approaches to estimation and inference, namely, the cross-sectional average and principal component estimators. By providing a formal comparison of the approaches, the current paper fills this gap in the literature.

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Year of publication:	2015
Authors:	Westerlund, Joakim ; Urbain, Jean-Pierre
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 185.2015, 2, p. 372-377
Publisher:	Elsevier
Subject:	Factor-augmented panel regressions \| Common factor models \| Principal components \| Cross-section averages \| Cross-section dependence

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011190733