Title of article :
Cross-sectional averages versus principal components
Author/Authors :
Westerlund، نويسنده , , Joakim and Urbain، نويسنده , , Jean-Pierre، نويسنده ,
Abstract :
In spite of the increased use of factor-augmented regressions in recent years, little is known regarding the relative merits of the two main approaches to estimation and inference, namely, the cross-sectional average and principal component estimators. By providing a formal comparison of the approaches, the current paper fills this gap in the literature.
Keywords :
Factor-augmented panel regressions , Principal components , Cross-section averages , Cross-Section Dependence , Common factor models
Journal title :
Astroparticle Physics
