Inference on factor structures in heterogeneous panels
(2014)
Journal Article
Castagnetti, C., Rossi, E., & Trapani, L. (2015). Inference on factor structures in heterogeneous panels. Journal of Econometrics, 184(1), https://doi.org/10.1016/j.jeconom.2014.08.004
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.... Read More about Inference on factor structures in heterogeneous panels.