Cao, Shiyun; Zhou, Qiankun - In: Econometrics : open access journal 10 (2022) 3, pp. 1-27
In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error structures. We adopted the common correlated effect (CCE) estimation and established the asymptotic properties of the CCE and common correlated effects mean group (CCEMG) estimators, as...