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CCE in panels with general unknown factors

Westerlund, J

Westerlund, J (reprint author), Lund Univ, Dept Econ, Box 7082, S-22007 Lund, Sweden.; Westerlund, J (reprint author), Deakin Univ, Deakin Business Sch, Ctr Financial Econometr, 221 Burwood Highway, Burwood, Vic 3125, Australia.

ECONOMETRICS JOURNAL, 2018; 21 (3): 264

Abstract

A popular approach to factor-augmented panel regressions is the common correlated effects (CCE) estimator of Pesaran (2006). In fact, the approach is ......

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