Template-type: ReDif-Paper 1.0
Author-Name: Westerlund Joakim 
Author-Name: Urbain Jean-Pierre 
Author-workplace-name: METEOR
Title: Cross sectional averages or principal components?
Abstract: In spite of the increased use of factor-augmented regressions in recent years, little is knownregarding the relative merits of the two main approaches to estimation and inference, namely, thecross-sectional average and principal components estimators. As a response to this, the currentpaper offers an in-dept theoretical analysis of the issue.
Keywords: econometrics; 
Series: Research Memoranda
Creation-Date: 2011
Number: 053
File-URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:1e294086-aa21-4ed3-8a79-0959bd3f2c4b/datastreams/ASSET1/content
File-Format: application/pdf
File-Size: 358532
Handle: RePEc:unm:umamet:2011053