We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We show that previously developed estimators and confidence intervals (CIs) might be heavily biased and size-distorted when some of the factors are weak. We...

In this work, the exact finite-sample distribution of the median absolute deviation about the median (MAD) of continuous random variables is derived. The main results are used for providing exact confidence intervals for the scale parameter of a location–scale model, which are robust to the...