CCE in heterogenous fixed-T panels

To pool or not to pool: Homogeneous versus heterogenous estimators applied to cigarette demand

Joakim Westerlund and Yousef Kaddoura

The Econometrics Journal, 2022, vol. 25, issue 3, 719-738

Abstract: SummaryThe present paper shows that the CCE approach of Pesaran (2006) is more useful than commonly appreciated, in that it enables consistent and asymptotically normal estimation of interactive effects models with heterogeneous slope coefficients when the number of time periods, T, is fixed and only the number of cross-sectional units, N, is large.

Keywords: interactive effects models; heterogeneous slope coefficients; CCE estimation; unknown factors (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:oup:emjrnl:v:25:y:2022:i:3:p:719-738.

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