Gonçalves, Sílvia; Perron, Benoit - In: Journal of Econometrics 182 (2014) 1, pp. 156-173
This paper proposes and theoretically justifies bootstrap methods for regressions where some of the regressors are factors estimated from a large panel of data. We derive our results under the assumption that T/N→c, where 0≤c∞ (N and T are the cross-sectional and the time series...