WebThe 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 … WebMar 17, 2024 · The present paper shows that the CCE approach of Pesaran (2006) is more useful than commonly appreciated, in that it enables consistent and asymptotically …

CCE in fixed-T panels

WebAbstract. A novel method-of-moments approach is proposed for the estimation of factor-augmented panel data models with endogenous regressors when T is fixed. The underlying methodology involves approximating the unobserved common factors using observed factor proxies. The resulting moment conditions are linear in the parameters. WebCCE in fixed-T panels The presence of unobserved heterogeneity and its likely detrimental effect on inference has recently motivated the use of factor-augmented … hunters animal clinic

EconPapers: CCE in fixed‐T panels

WebOct 4, 2024 · In this article, we introduce the xtivdfreg command, which implements a general instrumental-variables (IV) approach for fitting panel-data models with many time-series observations, T, and unobserved common factors or interactive effects, as developed by Norkute et al. (2024, Journal of Econometrics 220: 416–446) and Cui et al. (2024a, … WebThe obvious implication of this theory for empirical work is that both N and T should be large, which means that CCE is impossible for the typical micro panel where only N is large. In … WebThe obvious implication of this theory for empirical work is that both N and T should be large, which means that CCE is impossible for the typical micro panel where only N is large. In the current paper, we put the existing CCE theory and its implications to a test. This is done by developing a new theory that enables T to be fixed. marvel heartmate