Castagnetti, Carolina; Rossi, Eduardo; Trapani, Lorenzo - In: Journal of Econometrics 184 (2015) 1, pp. 145-157
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. We propose a two stage estimation procedure...