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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

Impulse response and forecast error variance asymptotics in nonstationary VARs

Phillips, Peter C. B. - In: Journal of Econometrics 83 (1998) 1-2, pp. 21-56

Persistent link: https://www.econbiz.de/10005052729

A CUSUM test for cointegration using regression residuals

Xiao, Zhijie; Phillips, Peter C. B. - In: Journal of Econometrics 108 (2002) 1, pp. 43-61

Persistent link: https://www.econbiz.de/10005052917

An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator

Phillips, Peter C. B. - In: Journal of Econometrics 6 (1977) 2, pp. 147-164

Persistent link: https://www.econbiz.de/10005122569

Nonlinear instrumental variable estimation of an autoregression

Phillips, Peter C. B.; Park, Joon Y.; Chang, Yoosoon - In: Journal of Econometrics 118 (2004) 1-2, pp. 219-246

Persistent link: https://www.econbiz.de/10005122804

Higher-order approximations for frequency domain time series regression

Xiao, Zhijie; Phillips, Peter C. B. - In: Journal of Econometrics 86 (1998) 2, pp. 297-336

Persistent link: https://www.econbiz.de/10005122825

Bayesian model selection and prediction with empirical applications

Phillips, Peter C. B. - In: Journal of Econometrics 69 (1995) 1, pp. 289-331

Persistent link: https://www.econbiz.de/10005122872

Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables

Chao, John C.; Phillips, Peter C. B. - In: Journal of Econometrics 111 (2002) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10005228579

On the behavior of inconsistent instrumental variable estimators

Maasoumi, Esfandiar; Phillips, Peter C. B. - In: Journal of Econometrics 19 (1982) 2-3, pp. 183-201

Persistent link: https://www.econbiz.de/10005228655

The Durbin-Watson ratio under infinite-variance errors

Phillips, Peter C. B.; Loretan, Mico - In: Journal of Econometrics 47 (1991) 1, pp. 85-114

Persistent link: https://www.econbiz.de/10005285436

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