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Testing factors in CCE

Brown, Nicholas; Westerlund, Joakim - 2022

One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE) approach, which uses the cross-sectional averages of the observables as proxies of the unobserved factors. The present paper proposes a simple test that is suitable for testing...

Persistent link: https://www.econbiz.de/10013461522

Testing factors in CCE

Brown, Nicholas; Westerlund, Joakim - In: Economics letters 230 (2023), pp. 1-3

Persistent link: https://www.econbiz.de/10014460359

Feasible estimation in cointegrated panels

Westerlund, Joakim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001779631

A simple test for nonstationarity in mixed panels with incidental trends

Westerlund, Joakim - In: Economics letters 125 (2014) 2, pp. 160-163

Persistent link: https://www.econbiz.de/10010505429

Estimating cointegrated panels with common factors and the forwrd rate unbiasedness hypothesis

Westerlund, Joakim - In: Journal of financial econometrics : official journal of … 5 (2007) 3, pp. 491-522

Persistent link: https://www.econbiz.de/10003518507

Data dependent endogeneity correction in cointegrated panels

Westerlund, Joakim - In: Oxford bulletin of economics and statistics 67 (2005) 5, pp. 691-705

Persistent link: https://www.econbiz.de/10003142848

CCE in panels with general unknown factors

Westerlund, Joakim - In: The econometrics journal 21 (2018) 3, pp. 264-276

Persistent link: https://www.econbiz.de/10012166628

Testing additive versus interactive effects in fixed-T panels

Westerlund, Joakim - In: Economics letters 174 (2019), pp. 5-8

Persistent link: https://www.econbiz.de/10012120997

Least squares asymptotics in spurious and cointegrated panel regressions with common and indiosyncratic stochastic trends

Urbain, Jean-Pierre; Westerlund, Joakim - In: Oxford bulletin of economics and statistics 73 (2011) 1, pp. 119-139

Persistent link: https://www.econbiz.de/10009011869

Estimation of factor-augmented panel regressions with weakly influential factors

Westerlund, Joakim; Reese, Simon - 2014

Persistent link: https://www.econbiz.de/10010256224

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