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On the robustness of the pooled CCE estimator

Juodis, A; Karabiyik, H; Westerlund, J

Juodis, A (corresponding author), Univ Amsterdam, Amsterdam Sch Econ, Roetersstr 11, NL-1018 WB Amsterdam, Netherlands.

JOURNAL OF ECONOMETRICS, 2021; 220 (2): 325

Abstract

Among the existing estimators of factor-augmented regressions, the CCE approach is the most popular. A major reason for this popularity is the simplic......

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