Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors

DOI10.1016/j.jeconom.2015.03.007zbMath1337.62354OpenAlexW3121624457MaRDI QIDQ2516312

Alexander Chudik, M. Hashem Pesaran

Publication date: 13 August 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.007

zbMATH Keywords

cross section dependencelarge panelscommon correlated effectsestimation and inferencelagged dependent variablecoefficient heterogeneityunobserved common factors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)

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