Han, Minyu; Kwak, Jihun; Sul, Donggyu - In: Econometric reviews 41 (2022) 3, pp. 291-320
effects) is sufficiently sophisticated to isolate the influence of common shocks on the estimation of slope coefficients. If … it is not, practitioners need to run the so-called panel factor augmented regression instead. There are two pretesting … efficient estimation methods. By comparing asymptotic variances, this article finds that when the slope coefficients are …
