Before revision:  In particular, with latent factors, not only do we establish the conditions on factor estimation for a strong oracle property, which are different from those for smooth factor augmented models, but we also identify semi-strong and weak oracle cases and establish a phase transition that describes the effect of first stage factor estimation as the cross-sectional dimension of panel data increases relative to the time-series dimension.
After revision:  In particular, we establish a phase transition that describes the effect of first stage factor estimation as the cross-sectional dimension of panel data increases relative to the time-series dimension.