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Robust Nearly-Efficient Estimation of Large Panels with Factor Structures

By Marco Avarucci and Paolo Zaffaroni
This paper studies estimation of linear panel regression models with heterogeneous coefficients, when both the regressors and the residual contain a possibly common, latent, factor structure. Our theory is (nearly) efficient, because based on the GLS principle, and also robust to the specification of such factor structure because it does... Show more
February 28, 2019
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Robust Nearly-Efficient Estimation of Large Panels with Factor Structures
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