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On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects

Westerlund, Joakim LU (2019) In Journal of Time Series Analysis 40(5). p.852-857
Abstract

Among the existing estimators of interactive effects (IEs) regressions, the common correlated effects (CCE) approach is probably the most popular. A major reason for this popularity is the generality of the approach. In fact, CCE is remarkably general in that it allows ample parameter heterogeneity without placing any restrictions on the true number of common factors. In the present paper, we show that this generality is not unique to CCE but that it is shared by a whole class of estimators. We characterize this class and show that it does not rely on the correct specification of the IEs. In spite of this, the estimators within the class are consistent and asymptotically normal under general conditions. This means that there is not just... (More)

Among the existing estimators of interactive effects (IEs) regressions, the common correlated effects (CCE) approach is probably the most popular. A major reason for this popularity is the generality of the approach. In fact, CCE is remarkably general in that it allows ample parameter heterogeneity without placing any restrictions on the true number of common factors. In the present paper, we show that this generality is not unique to CCE but that it is shared by a whole class of estimators. We characterize this class and show that it does not rely on the correct specification of the IEs. In spite of this, the estimators within the class are consistent and asymptotically normal under general conditions. This means that there is not just CCE but, in fact, many estimators to choose from, such as the fixed effects estimator.

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Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
CCE, interactive effects models, parameter heterogeneity
in
Journal of Time Series Analysis
volume
40
issue
5
pages
852 - 857
publisher
Wiley-Blackwell
external identifiers
  • scopus:85055097974
ISSN
0143-9782
DOI
10.1111/jtsa.12432
language
English
LU publication?
yes
id
60e3ce27-dba4-46c5-8c5e-ebc7b4a99171
date added to LUP
2018-11-20 12:25:03
date last changed
2019-11-20 05:31:31
@article{60e3ce27-dba4-46c5-8c5e-ebc7b4a99171,
  abstract     = {<p>Among the existing estimators of interactive effects (IEs) regressions, the common correlated effects (CCE) approach is probably the most popular. A major reason for this popularity is the generality of the approach. In fact, CCE is remarkably general in that it allows ample parameter heterogeneity without placing any restrictions on the true number of common factors. In the present paper, we show that this generality is not unique to CCE but that it is shared by a whole class of estimators. We characterize this class and show that it does not rely on the correct specification of the IEs. In spite of this, the estimators within the class are consistent and asymptotically normal under general conditions. This means that there is not just CCE but, in fact, many estimators to choose from, such as the fixed effects estimator.</p>},
  author       = {Westerlund, Joakim},
  issn         = {0143-9782},
  language     = {eng},
  number       = {5},
  pages        = {852--857},
  publisher    = {Wiley-Blackwell},
  series       = {Journal of Time Series Analysis},
  title        = {On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects},
  url          = {http://dx.doi.org/10.1111/jtsa.12432},
  doi          = {10.1111/jtsa.12432},
  volume       = {40},
  year         = {2019},
}