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Luca Margaritella . Photo

Luca Margaritella

Associate senior lecturer

Luca Margaritella . Photo

Using Information Criteria to Select Averages in CCE

Author

  • Luca Margaritella
  • Joakim Westerlund

Summary, in English

In the interactive effects panel data literature information criteria are commonly used to consistently determine which of the estimated principal components factors to include. The present paper shows that the same approach can be applied to factors estimated by taking the cross-sectional averages of the observables, as prescribed by the popular common correlated effects (CCE) approach. This should be useful to practitioners because at the moment there is no other theory that justifies the use of information criteria in CCE.

Department/s

  • Department of Economics

Publishing year

2023-04-03

Language

English

Pages

405-421

Publication/Series

Econometrics Journal

Volume

26

Issue

3

Document type

Journal article

Publisher

Oxford University Press

Topic

  • Economics

Keywords

  • C33
  • C38
  • C52

Status

Published

ISBN/ISSN/Other

  • ISSN: 1368-423X