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Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Quaderni di Dipartimento - EPMQ No. 211
Verlag: 
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ), Pavia
Zusammenfassung: 
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.
Schlagwörter: 
factor error structure
principal component
common regressors
cross-section dependence
large panels
Monte Carlo simulations
JEL: 
C23
C32
C33
Dokumentart: 
Working Paper

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