On the robustness of the pooled CCE estimator

DOI10.1016/J.JECONOM.2020.06.002zbMATH Open1464.62507OpenAlexW3024543271MaRDI QIDQ2224980FDOQ2224980

Authors: Artūras Juodis, Hande Karabiyik, Joakim Westerlund 

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.06.002

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zbMATH Keywords

rank conditioncommon correlated effectsfactor-augmented regressionspredetermined regressors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
• Weak and strong cross-section dependence and estimation of large panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Biases in Dynamic Models with Fixed Effects
• Jackknife and analytical bias reduction for nonlinear panel models.
• Consistent Estimates Based on Partially Consistent Observations
• Panels with non-stationary multifactor error structures
• Panel data models with interactive fixed effects
• Estimating Vector Autoregressions with Panel Data
• A bootstrap procedure for panel data sets with many cross-sectional units
• Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
• Individual and time effects in nonlinear panel models with large \(N\), \(T\)
• Split-panel Jackknife Estimation of Fixed-effect Models
• Bootstrap inference for linear dynamic panel data models with individual fixed effects
• The effect of recursive detrending on panel unit root tests
• Panel data models with multiple time-varying individual effects
• Dynamic linear panel regression models with interactive fixed effects
• Asymptotic distribution of factor augmented estimators for panel regression
• Cross-sectional averages versus principal components
• On the estimation and inference in factor-augmented panel regressions with correlated loadings
• On the role of the rank condition in CCE estimation of factor-augmented panel regressions
• Fixed T dynamic panel data estimators with multifactor errors
• Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence
• IV estimation of panels with factor residuals
• CCE in panels with general unknown factors

Cited In (6)

• A method to evaluate the rank condition for CCE estimators
• The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation
• Robust Estimation of Large Panels with Factor Structures
• An incidental parameters free inference approach for panels with common shocks
• Cross-section bootstrap for CCE regressions
• Quantifying noise in survey expectations

Uses Software

• probitfe

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