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Five lessons for applied researchers from twenty years of common correlated effects estimation

Juodis, Artūras and Reese, Simon LU (2026) In Journal of Econometrics 253.
Abstract

This article distills the vast literature on Common Correlated Effects (CCE), initiated by the seminal contribution of Pesaran (2006), into five practical lessons. We provide a concise overview of the CCE framework and describe the reasons for its popularity in empirical (macro-) panel data research. The lessons we draw focus on aspects that have received substantial methodological attention, but remain underappreciated in empirical work.

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, Common correlated effects, Cross-sectional averages, Factor models
in
Journal of Econometrics
volume
253
article number
106120
publisher
Elsevier
external identifiers
  • scopus:105021310106
ISSN
0304-4076
DOI
10.1016/j.jeconom.2025.106120
language
English
LU publication?
yes
id
e2e07aaf-551e-4f62-84fd-afa7022b753d
date added to LUP
2025-12-10 11:53:33
date last changed
2025-12-10 11:54:25
@article{e2e07aaf-551e-4f62-84fd-afa7022b753d,
  abstract     = {{<p>This article distills the vast literature on Common Correlated Effects (CCE), initiated by the seminal contribution of Pesaran (2006), into five practical lessons. We provide a concise overview of the CCE framework and describe the reasons for its popularity in empirical (macro-) panel data research. The lessons we draw focus on aspects that have received substantial methodological attention, but remain underappreciated in empirical work.</p>}},
  author       = {{Juodis, Artūras and Reese, Simon}},
  issn         = {{0304-4076}},
  keywords     = {{CCE; Common correlated effects; Cross-sectional averages; Factor models}},
  language     = {{eng}},
  publisher    = {{Elsevier}},
  series       = {{Journal of Econometrics}},
  title        = {{Five lessons for applied researchers from twenty years of common correlated effects estimation}},
  url          = {{http://dx.doi.org/10.1016/j.jeconom.2025.106120}},
  doi          = {{10.1016/j.jeconom.2025.106120}},
  volume       = {{253}},
  year         = {{2026}},
}