Karabiyik H.; Urbain J.R.Y.J.; Westerlund J. - Graduate School of Business and Economics (GSBE), … - 2014
This paper considers estimation of factor-augmented panel data regression models with homogenous slope coefficients. One of the most popular approaches towards this end is the pooled common correlated effects CCE estimator of Pesaran 2006. For this estimator to be consistent at the usual sqrt-NT...