Extremum Estimation when the Predictors are Estimated from Large Panels
AbstractMuch is written about the use of factors estimated by the method of principal components from large panels in linear regression models. In this paper, we provide an analysis for non-linear estimation and establish the conditions under which the estimated factors can be treated as though they were observable. The results can be used to estimate probabilities as in probit type analysis as well as classification of observations into types conditional on covariates. Comparison with traditional generated regressors is also made.
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Bibliographic InfoArticle provided by Society for AEF in its journal Annals of Economics and Finance.
Volume (Year): 9 (2008)
Issue (Month): 2 (November)
Non-Linear estimation; Large panels; Extremum estimators; Probit Analysis;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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