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Using Information Criteria to Select Averages in CCE

Margaritella, Luca LU and Westerlund, Joakim LU (2023) In Econometrics Journal 26(3). p.405-421
Abstract
In the interactive effects panel data literature information criteria are commonly used to consistently determine which of the estimated principal components factors to include. The present paper shows that the same approach can be applied to factors estimated by taking the cross-sectional averages of the observables, as prescribed by the popular common correlated effects (CCE) approach. This should be useful to practitioners because at the moment there is no other theory that justifies the use of information criteria in CCE.
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
C33, C38, C52
in
Econometrics Journal
volume
26
issue
3
pages
405 - 421
publisher
Oxford University Press
external identifiers
  • scopus:85150760828
ISSN
1368-423X
DOI
10.1093/ectj/utad009
language
English
LU publication?
yes
id
50c6cfcd-5584-4eae-aa1f-2c8dacdb9fda
date added to LUP
2023-02-06 07:50:06
date last changed
2025-04-04 15:22:26
@article{50c6cfcd-5584-4eae-aa1f-2c8dacdb9fda,
  abstract     = {{In the interactive effects panel data literature information criteria are commonly used to consistently determine which of the estimated principal components factors to include. The present paper shows that the same approach can be applied to factors estimated by taking the cross-sectional averages of the observables, as prescribed by the popular common correlated effects (CCE) approach. This should be useful to practitioners because at the moment there is no other theory that justifies the use of information criteria in CCE.}},
  author       = {{Margaritella, Luca and Westerlund, Joakim}},
  issn         = {{1368-423X}},
  keywords     = {{C33; C38; C52}},
  language     = {{eng}},
  month        = {{04}},
  number       = {{3}},
  pages        = {{405--421}},
  publisher    = {{Oxford University Press}},
  series       = {{Econometrics Journal}},
  title        = {{Using Information Criteria to Select Averages in CCE}},
  url          = {{http://dx.doi.org/10.1093/ectj/utad009}},
  doi          = {{10.1093/ectj/utad009}},
  volume       = {{26}},
  year         = {{2023}},
}