Westerlund, Joakim; Urbain, Jean-Pierre - In: Economics Letters 119 (2013) 3, pp. 247-250
In an influential paper, Pesaran [Pesaran, M.H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74, 967–1012] proposes a very simple estimator of factor-augmented regressions that has since then become very popular. In this note...