On the robustness of the pooled CCE estimator

DOI10.1016/j.jeconom.2020.06.002zbMath1464.62507OpenAlexW3024543271MaRDI QIDQ2224980

Joakim Westerlund, Artūras Juodis, Hande Karabiyik

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

zbMATH Keywords

rank conditioncommon correlated effectsfactor-augmented regressionspredetermined regressors

Mathematics Subject Classification ID

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

Related Items (4)

An incidental parameters free inference approach for panels with common shocks ⋮ Quantifying noise in survey expectations ⋮ Cross-section bootstrap for CCE regressions ⋮ Robust Estimation of Large Panels with Factor Structures

Uses Software

• probitfe

Cites Work

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