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Unbiased CCE estimator for Interactive Fixed Effects panels

Mingjing Chen and Jingzhou Yan

Economics Letters, 2019, vol. 175, issue C, 1-4

Abstract: In this paper the primary interest is to propose a three-stage procedure to debias Pesaran (2006)’s Common Correlated Effects (CCE) estimator while keep the efficiency asymptotically unchanged for factor-augmented regressions. If some regularities are satisfied, this procedure also debiases Bai (2009)’s Interactive Fixed Effects (IFE) estimator. We also show the consistency of CCE estimator in insufficient proxy situation.

Keywords: Common Correlated Effects; Interactive Fixed Effects; Factor (search for similar items in EconPapers)
JEL-codes: C13 C33 C36 (search for similar items in EconPapers)
Date: 2019
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