Testing Factors in CCE
(2023) In Economics Letters 230.- Abstract
- One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE) approach, which uses the cross-sectional averages of the observables to estimate the unobserved factors. The present paper proposes a simple test statistic that is suitable for testing hypotheses about these factors. The statistic can be used to test if a subset of the averages is enough to estimate the factors, or if there are observable variables that capture them. The statistic can also be used sequentially to determine the smallest set of averages needed to estimate the factors.
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https://lup.lub.lu.se/record/cfafbbc8-de33-45e9-982f-778da7d8d8bd
- author
- Brown, Nicholas and Westerlund, Joakim LU
- organization
- publishing date
- 2023
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Economics Letters
- volume
- 230
- article number
- 111245
- publisher
- Elsevier
- external identifiers
-
- scopus:85165138178
- ISSN
- 0165-1765
- DOI
- 10.1016/j.econlet.2023.111245
- language
- English
- LU publication?
- yes
- id
- cfafbbc8-de33-45e9-982f-778da7d8d8bd
- date added to LUP
- 2023-07-31 17:38:48
- date last changed
- 2023-09-05 14:11:55
@article{cfafbbc8-de33-45e9-982f-778da7d8d8bd,
abstract = {{One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE) approach, which uses the cross-sectional averages of the observables to estimate the unobserved factors. The present paper proposes a simple test statistic that is suitable for testing hypotheses about these factors. The statistic can be used to test if a subset of the averages is enough to estimate the factors, or if there are observable variables that capture them. The statistic can also be used sequentially to determine the smallest set of averages needed to estimate the factors.}},
author = {{Brown, Nicholas and Westerlund, Joakim}},
issn = {{0165-1765}},
language = {{eng}},
publisher = {{Elsevier}},
series = {{Economics Letters}},
title = {{Testing Factors in CCE}},
url = {{http://dx.doi.org/10.1016/j.econlet.2023.111245}},
doi = {{10.1016/j.econlet.2023.111245}},
volume = {{230}},
year = {{2023}},
}