On the robustness of the pooled CCE estimator

DOI10.1016/J.JECONOM.2020.06.002MaRDI QIDQ2224980zbMATH OpenOpenAlexFDO

Authors Artūras Juodis, Hande Karabiyik, Joakim Westerlund

Publication date 4 February 2021

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

Copyright license Creative Commons Attribution 4.0 International

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

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

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Cites work

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

Cited in

(6)

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

Describes a project that uses

Uses Software

• probitfe

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