CCE in Heterogenous Fixed-T Panels
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/7f4144e6-3ba6-4fd6-acd6-64fbe875e952
- author
- Westerlund, Joakim LU and Kaddoura, Yousef LU
- organization
- publishing date
- 2022
- 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}}, }