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Forschungsseminar

Im Rahmen unseres Forschungsseminars spricht Philipp Hansen (Universität zu Köln) zu dem Thema: "Alternative Approaches for Estimating Factor Augmented Panel Data Models".

Die Veranstaltung findet statt am Dienstag, den 19.11.2019, um 16:00 Uhr in S241 (WiSo-Erweiterungsbau). 

Abstract:

Standard panel data models may be overly restrictive in assuming that the entire unobserved heterogeneity is captured by a (fixed or random) single time-invariant component. In contrast, the factor augmented panel data model provides a very flexible approach to capture unobserved cross-sectional dependence by means of a factor structure in the error term. We consider three popular estimation methods of the factor augmented regression: The CCE-estimator of Pesaran (2006), the PC-approach of Bai (2009) and the GMM-estimator of Ahn et al. (2013). We highlight important differences of the estimation approaches and emphasize the implications of alternative assumptions for empirical practice.

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