This comment discusses two issues related to the paper by Robertson and Sarafidis (2014, hereafter RS). The first issue is the potential incidental parameters problem that may arise when data are cross-sectionally heteroskedastic. The second issue is an identification problem in the estimation of panel models with weakly exogenous instrumental variables.
- Factor models
- Panel data
- Time-varying individual effects
ASJC Scopus subject areas
- Economics and Econometrics