Search Results - subject:"Factor augmented panel regression"

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The COVID-19 Pandemic and Chinese insurance firms : a panel predictability analysis

Devpura, Neluka; Zhang, Fan - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 5, pp. 1464-1474

Persistent link: https://www.econbiz.de/10014289476

Econometric analysis of panel data models with multifactor error structures

Karabiyik, Hande; Palm, Franz C.; Urbain, Jean-Pierre - In: Annual review of economics 11 (2019), pp. 495-522

Persistent link: https://www.econbiz.de/10012623785

Panel evidence on the ability of oil returns to predict stock returns in the G7 area

Westerlund, Joakim; Sharma, Susan Sunila - In: Energy economics 77 (2019), pp. 3-12

Persistent link: https://www.econbiz.de/10012306331

CCE in panels with general unknown factors

Westerlund, Joakim - In: The econometrics journal 21 (2018) 3, pp. 264-276

Persistent link: https://www.econbiz.de/10012166628

On the role of the rank condition in CCE estimation of factor-augmented panel regressions

Karabiyik, Hande; Reese, Simon; Westerlund, Joakim - In: Journal of econometrics 197 (2017) 1, pp. 60-64

Persistent link: https://www.econbiz.de/10011818341

Asymptotic distribution of factor augmented estimators for panel regression

Greenaway-McGrevy, Ryan; Han, Chirok; Sul, Donggyu - In: Journal of Econometrics 169 (2012) 1, pp. 48-53

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...

Persistent link: https://www.econbiz.de/10011052339