CCE in panels with general unknown factors

DOI10.1111/ECTJ.12110OpenAlexW2785548464MaRDI QIDQ5084379

Joakim Westerlund

Publication date: 24 June 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12110

zbMATH Keywords

interactive effectsCCE estimationfactor-augmented panel regressionunknown factors

Mathematics Subject Classification ID

Statistics (62-XX)

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A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ On the robustness of the pooled CCE estimator

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