Skip to main content

Lund University Publications

LUND UNIVERSITY LIBRARIES

CCE under nonrandom heterogeneity

Kaddoura, Yousef LU and Westerlund, Joakim LU (2025) In Econometrics Journal 28(2). p.276-294
Abstract

In panel data regression models, it is often not reasonable to expect all cross-sectional units to have identical responses to explanatory variables, or that all relevant variables have been properly accounted for. These concerns have recently motivated the use of interactive effects models with heterogeneous slopes. The workhorse of this literature is the common correlated effects approach, which assumes that both effects and slopes are randomly distributed. The current paper argues that the restrictions implied by this assumption are likely unreasonable in many applications, and that there is a need to allow for nonrandom heterogeneity.

Please use this url to cite or link to this publication:
author
and
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
CCE, interactive effects, LASSO, random coefficient model, unobserved heterogeneity
in
Econometrics Journal
volume
28
issue
2
pages
19 pages
publisher
Oxford University Press
external identifiers
  • scopus:105008099495
ISSN
1368-4221
DOI
10.1093/ectj/utae021
language
English
LU publication?
yes
additional info
Publisher Copyright: © 2024 The Author(s).
id
3a26f086-c41a-4e52-aa04-25b554958d9e
date added to LUP
2025-12-18 14:15:00
date last changed
2025-12-19 09:17:29
@article{3a26f086-c41a-4e52-aa04-25b554958d9e,
  abstract     = {{<p>In panel data regression models, it is often not reasonable to expect all cross-sectional units to have identical responses to explanatory variables, or that all relevant variables have been properly accounted for. These concerns have recently motivated the use of interactive effects models with heterogeneous slopes. The workhorse of this literature is the common correlated effects approach, which assumes that both effects and slopes are randomly distributed. The current paper argues that the restrictions implied by this assumption are likely unreasonable in many applications, and that there is a need to allow for nonrandom heterogeneity.</p>}},
  author       = {{Kaddoura, Yousef and Westerlund, Joakim}},
  issn         = {{1368-4221}},
  keywords     = {{CCE; interactive effects; LASSO; random coefficient model; unobserved heterogeneity}},
  language     = {{eng}},
  number       = {{2}},
  pages        = {{276--294}},
  publisher    = {{Oxford University Press}},
  series       = {{Econometrics Journal}},
  title        = {{CCE under nonrandom heterogeneity}},
  url          = {{http://dx.doi.org/10.1093/ectj/utae021}},
  doi          = {{10.1093/ectj/utae021}},
  volume       = {{28}},
  year         = {{2025}},
}