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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects

Author

  • Joakim Westerlund

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