Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
CCE in Heterogenous Fixed-T Panels
Author
Summary, in English
The present paper shows that the CCE approach of Pesaran (2006) is more useful than commonly appreciated, in that it enables consistent and asymptotically normal estimation of interactive effects models with heterogeneous slope coefficients when the number of time periods, T, is fixed and only the number of cross-sectional units, N, is large.
Department/s
- Department of Economics
Publishing year
2022
Language
English
Pages
719-738
Publication/Series
Econometrics Journal
Volume
25
Issue
3
Document type
Journal article
Publisher
Oxford University Press
Topic
- Economics
Keywords
- C12 - Hypothesis Testing
- GeneralC13 - Estimation
- GeneralC33 - Panel Data Models
- Spatio-temporal Models
- C36 - Instrumental Variables
- Estimation
Status
Published
ISBN/ISSN/Other
- ISSN: 1368-423X