Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors
允许非强因子的面板回归：因子与载荷增广估计
This article considers linear panel data models where the dependence of the regressors and the unobservables is modeled through a factor structure. The number of time periods and the sample size both go to infinity. Unlike in most existing methods for the estimation of this type of models, nonstrong factors are allowed and the number of factors can grow to infinity with the sample size. We study a class of two-step estimators of the regression coefficients. In the first…