CCE under nonrandom heterogeneity

Yousef Kaddoura and Joakim Westerlund

The Econometrics Journal, 2025, vol. 28, issue 2, 276-294

Abstract: SummaryIn panel data regression models, it is often not reasonable to expect all cross-sectional units to have identical responses to explanatory variables, or that all relevant variables have been properly accounted for. These concerns have recently motivated the use of interactive effects models with heterogeneous slopes. The workhorse of this literature is the common correlated effects approach, which assumes that both effects and slopes are randomly distributed. The current paper argues that the restrictions implied by this assumption are likely unreasonable in many applications, and that there is a need to allow for nonrandom heterogeneity.

Keywords: CCE; random coefficient model; unobserved heterogeneity; interactive effects; LASSO (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1093/ectj/utae021 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:emjrnl:v:28:y:2025:i:2:p:276-294.

Access Statistics for this article

The Econometrics Journal is currently edited by Jaap Abbring

More articles in The Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().