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CCE in Heterogenous Fixed-T Panels

Westerlund, Joakim LU and Kaddoura, Yousef LU (2022) In Econometrics Journal 25(3). p.719-738
Abstract
The present paper shows that the CCE approach of Pesaran (2006) is more useful than commonly appreciated, in that it enables consistent and asymptotically normal estimation of interactive effects models with heterogeneous slope coefficients when the number of time periods, T, is fixed and only the number of cross-sectional units, N, is large.
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author
and
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
C12 - Hypothesis Testing, GeneralC13 - Estimation, GeneralC33 - Panel Data Models, Spatio-temporal Models, C36 - Instrumental Variables, Estimation
in
Econometrics Journal
volume
25
issue
3
pages
719 - 738
publisher
Oxford University Press
external identifiers
  • scopus:85138717394
ISSN
1368-423X
DOI
10.1093/ectj/utac012
language
English
LU publication?
yes
id
7f4144e6-3ba6-4fd6-acd6-64fbe875e952
date added to LUP
2022-03-17 08:50:11
date last changed
2023-05-16 04:10:08
@article{7f4144e6-3ba6-4fd6-acd6-64fbe875e952,
  abstract     = {{The present paper shows that the CCE approach of Pesaran (2006) is more useful than commonly appreciated, in that it enables consistent and asymptotically normal estimation of interactive effects models with heterogeneous slope coefficients when the number of time periods, T, is fixed and only the number of cross-sectional units, N, is large.}},
  author       = {{Westerlund, Joakim and Kaddoura, Yousef}},
  issn         = {{1368-423X}},
  keywords     = {{C12 - Hypothesis Testing; GeneralC13 - Estimation; GeneralC33 - Panel Data  Models; Spatio-temporal Models; C36 - Instrumental Variables; Estimation}},
  language     = {{eng}},
  number       = {{3}},
  pages        = {{719--738}},
  publisher    = {{Oxford University Press}},
  series       = {{Econometrics Journal}},
  title        = {{CCE in Heterogenous Fixed-T Panels}},
  url          = {{http://dx.doi.org/10.1093/ectj/utac012}},
  doi          = {{10.1093/ectj/utac012}},
  volume       = {{25}},
  year         = {{2022}},
}