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CCE in panels with general unknown factors

Westerlund, Joakim - In: The econometrics journal 21 (2018) 3, pp. 264-276

Persistent link: https://www.econbiz.de/10012166628

Brown, Nicholas; Westerlund, Joakim - 2022

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...

Persistent link: https://www.econbiz.de/10014451096

Asymptotic collinearity in CCE estimation of interactive effects models

Westerlund, Joakim; Petrova, Yana - In: Economic modelling 70 (2018), pp. 331-337

Persistent link: https://www.econbiz.de/10012027996

On the role of the rank condition in CCE estimation of factor-augmented panel regressions

Karabiyik, Hande; Reese, Simon; Westerlund, Joakim - In: Journal of econometrics 197 (2017) 1, pp. 60-64

Persistent link: https://www.econbiz.de/10011818341

Testing factors in CCE

Brown, Nicholas; Westerlund, Joakim - In: Economics letters 230 (2023), pp. 1-3

Persistent link: https://www.econbiz.de/10014460359

Using information criteria to select averages in CCE

Margaritella, Luca; Westerlund, Joakim - In: The econometrics journal 26 (2023) 3, pp. 405-421

Persistent link: https://www.econbiz.de/10014391697

Panel evidence on the ability of oil returns to predict stock returns in the G7 area

Westerlund, Joakim; Sharma, Susan Sunila - In: Energy economics 77 (2019), pp. 3-12

Persistent link: https://www.econbiz.de/10012306331

Testing factors in CCE

Brown, Nicholas; Westerlund, Joakim - 2022

Persistent link: https://www.econbiz.de/10013461522

CCE in heterogenous fixed-T panels

Westerlund, Joakim; Kaddoura, Yousef - In: The econometrics journal 25 (2022) 3, pp. 719-738

Persistent link: https://www.econbiz.de/10013399863