Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects
نویسندگان
چکیده
منابع مشابه
Supplementary Material Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects
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USC Dornsife Institute for New Economic Thinking Working Paper No. 15-03 Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects
In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true number of factors in the data we establish the limiting distribution of the LS estimator for the regression coefficients, as the number of time periods and ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2546114