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...
