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Joakim Westerlund. Photo.

Joakim Westerlund

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

Joakim Westerlund. Photo.

Testing Factors in CCE

Author

  • Nicholas Brown
  • Joakim Westerlund

Summary, in English

One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE) approach, which uses the cross-sectional averages of the observables to estimate the unobserved factors. The present paper proposes a simple test statistic that is suitable for testing hypotheses about these factors. The statistic can be used to test if a subset of the averages is enough to estimate the factors, or if there are observable variables that capture them. The statistic can also be used sequentially to determine the smallest set of averages needed to estimate the factors.

Department/s

  • Department of Economics

Publishing year

2023

Language

English

Publication/Series

Economics Letters

Volume

230

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Status

Published

ISBN/ISSN/Other

  • ISSN: 0165-1765