The Common Correlated Effects (CCE) approach by Pesaran2006 is a popular method for estimating panel data models with interactive effects. Due to its simplicity, i.e. unobserved common factors are approximated with cross-section averages of the observables, the estimator is highly flexible and...

The Common Correlated Effects (CCE) estimator is a popular method to estimate panel data regression models with interactive effects. Due to its simplicity in approximating the common factors with cross-section averages of the observables, it lends itself to a wide range of applications. They...