Arbeitspapier
Testing factors in CCE
One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE) approach, which uses the cross-sectional averages of the observables as proxies of the unobserved factors. The present paper proposes a simple test that is suitable for testing hypotheses about the factors in CCE and that is valid provided only that the number of cross-sectional units is large. The new test can be used to test if a subset of the averages is enough to proxy the factors, or if there are observable variables that capture the factors. The test can also be used sequentially to determine the smallest set of averages needed to proxy the factors.
- Language
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Englisch
- Bibliographic citation
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Series: Queen’s Economics Department Working Paper ; No. 1491
- Classification
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Wirtschaft
- Subject
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Factor model selection
Interactive effects models
CCE estimation
- Event
-
Geistige Schöpfung
- (who)
-
Brown, Nicholas
Westerlund, Joakim
- Event
-
Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
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Kingston (Ontario)
- (when)
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2022
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Brown, Nicholas
- Westerlund, Joakim
- Queen's University, Department of Economics
Time of origin
- 2022
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Bootstrap Improved Inference for Factor-Augmented Regressions with CCE
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Testing for structural stability of factor augmented forecasting models
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