期刊
ECONOMICS LETTERS
卷 130, 期 -, 页码 124-127出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2015.03.020
关键词
Structural change; Factor-augmented regression; Two-step estimation; Limiting distribution
类别
资金
- NSFC [71471030, 71201031]
- Humanities and Social Sciences of Chinese Ministry of Education [13YJC790185, 12YJCZH109]
- China Postdoctoral Science Foundation [2012M511598, 2013T60710]
This paper considers a factor-augmented regression model in the presence of structural change. We propose a two-step procedure to estimate the coefficients of explanatory variables. We show that when the number of units (N) and the number of periods (T) are large and comparable, the proposed two-step estimator is root T-consistent and has the same limiting distribution as if the unobservable factors were observed. Monte Carlo simulations confirm our theoretical results and show good finite sample performance of the two-step estimator. (C) 2015 Elsevier B.V. All rights reserved.
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