Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/281095 
Year of Publication: 
2022
Series/Report no.: 
Queen’s Economics Department Working Paper No. 1491
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
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 hypotheses about the factors in CCE and that is valid provided only that the number of cross-sectional units is large. The new test can be used to test if a subset of the averages is enough to proxy the factors, or if there are observable variables that capture the factors. The test can also be used sequentially to determine the smallest set of averages needed to proxy the factors.
Subjects: 
Factor model selection
Interactive effects models
CCE estimation
Document Type: 
Working Paper

Files in This Item:
File
Size
103.03 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.