Inference on factor structures in heterogeneous panels

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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...

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Bibliographic Details
Main Authors:	Castagnetti, Carolina, Rossi, Eduardo, Trapani, Lorenzo
Format:	Article
Published:	Elsevier 2015
Subjects:	Large panels; CCE estimator; Principal Component estimator; Testing for factor structure; Extreme Value distribution
Online Access:	https://eprints.nottingham.ac.uk/46943/

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