Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects
Author
Summary, in English
Among the existing estimators of interactive effects (IEs) regressions, the common correlated effects (CCE) approach is probably the most popular. A major reason for this popularity is the generality of the approach. In fact, CCE is remarkably general in that it allows ample parameter heterogeneity without placing any restrictions on the true number of common factors. In the present paper, we show that this generality is not unique to CCE but that it is shared by a whole class of estimators. We characterize this class and show that it does not rely on the correct specification of the IEs. In spite of this, the estimators within the class are consistent and asymptotically normal under general conditions. This means that there is not just CCE but, in fact, many estimators to choose from, such as the fixed effects estimator.
Department/s
- Department of Economics
Publishing year
2019
Language
English
Pages
852-857
Publication/Series
Journal of Time Series Analysis
Volume
40
Issue
5
Document type
Journal article
Publisher
Wiley-Blackwell
Topic
- Economics
Keywords
- CCE
- interactive effects models
- parameter heterogeneity
Status
Published
ISBN/ISSN/Other
- ISSN: 0143-9782