Estimation of factor-augmented panel regressions with weakly influential factors
研究了弱、半弱和半强因子对因子增强面板回归中主成分和共同相关效应两种估计量的影响，为实践中因子强度可能不足的情况提供了理论分析。
The use of factor-augmented panel regressions has become very popular in recent years. Existing methods for such regressions require that the common factors are strong, an assumption that is likely to be mistaken in practice. Motivated by this, the current article offers an analysis of the effect of weak, semi-weak, and semi-strong factors on two of the most popular estimators for factor-augmented regressions, namely, principal components (PC) and common correlated effects (CCE).