Inference on factor structures in heterogeneous panels
This paper develops an estimation and testing framework for a stationary large panel model with observable regressors and unobservable common factors. We allow for slope heterogeneity and for correlation between the common factors and the regressors. We propose a two stage estimation procedure for t...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
Elsevier
2015
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/46943/ |