Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87126
Authors: 
Castagnetti, Carolina
Rossi, Eduardo
Year of Publication: 
2008
Series/Report no.: 
Quaderni di Dipartimento, EPMQ, Università degli Studi di Pavia 211
Abstract: 
Recently some new techniques have been proposed for the estimation of the slope coefficients in presence of unobserved components. Though, the presence of common observed and unobserved factors is neither considered or the estimation of their impacts is not taken into account. In this work a range of estimators is surveyed and their finite-sample properties are examined by means of Monte Carlo experiments. We consider both the properties of estimators for the individual specific components and for the observed common effects.
Subjects: 
factor error structure
principal component
common regressors
cross-section dependence
large panels
Monte Carlo simulations
JEL: 
C23
C32
C33
Document Type: 
Working Paper

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