In this paper we extend the concept of serial correlation common features to panel data models. This analysis is motivated both by the need to develop a methodology to systematically study and test for common structures and comovements in panel data with autocorrelation present and by an...

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 components estimators. As a response to this, the current paper...