Common Factors and Common Breaks in Panels: An Empirical Investigation

Qu Feng
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Qu Feng: Department of Economics, Nanyang Technological University, Singapore

No 1905, Economic Growth Centre Working Paper Series from Nanyang Technological University, School of Social Sciences, Economic Growth Centre

Abstract: Unobserved common factors and common breaks are two important features in empirical studies using large panels. Recently, Baltagi, Feng and Kao(2016,2019) extended Pesaran's(2006) common correlated effects (CCE)approach by allowing for common breaks and endogenous regressors in large heterogeneous panels.In this note, we empirically investigate these estimators and compare them with CCE and Bai's (2009) interactive fixed effects (IFE) estimators in the context of China's provincial infrastructure investment.

Keywords: Common Factors; Common Breaks; Infrastructure Investment. (search for similar items in EconPapers)
JEL-codes: C23 C33 E22 H54 O40 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2019-05
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