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...

Full description

Saved in:

Bibliographic Details
Published in:	Journal of econometrics Vol. 188; no. 2; pp. 393 - 420
Main Authors:	Chudik, Alexander, Pesaran, M. Hashem
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.10.2015 Elsevier Sequoia S.A
Subjects:	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 Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!