Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variables and/or weakly exogenous regressors. We show that the CCE mean group estimator continues to be valid but the following two conditions must be...

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Veröffentlicht in:	Journal of econometrics Jg. 188; H. 2; S. 393 - 420
Hauptverfasser:	Chudik, Alexander, Pesaran, M. Hashem
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Amsterdam Elsevier B.V 01.10.2015 Elsevier Sequoia S.A
Schlagworte:	Asymptotic methods Bias Coefficient heterogeneity Common correlated effects Cross section dependence Data models econometric models Econometrics economic analysis economic theory equations Estimation and inference Estimation bias Experiments Heterogeneity Lagged dependent variable Large panels Monte Carlo method Monte Carlo simulation Panel data Recursion Studies Time series time series analysis Unobserved common factors Variables C31 C33 Unobserved common factors Cross section dependence Lagged dependent variable Estimation and inference Common correlated effects Large panels Coefficient heterogeneity
ISSN:	0304-4076, 1872-6895
Online-Zugang:	Volltext
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