首页|Using information criteria to select averages in CCE
Using information criteria to select averages in CCE
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NSTL
Oxford Univ Press
In the interactive effects panel data literature information criteria are commonly used to consistently determine which of the estimated principal components factors to include. The present paper shows that the same approach can be applied to factors estimated by taking the cross-sectional averages of the observables, as prescribed by the popular common correlated effects (CCE) approach. This should be useful to practitioners because at the moment there is no other theory that justifies the use of information criteria in CCE.
CCE estimationinformation criteriainteractive effects modelsnumber of common factors
LUCA MARGARITELLA、JOAKIM WESTERLUND
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Department of Economics, Lund University, Box 7082, 220 07 Lund, Sweden
Department of Economics, Lund University, Box 7082, 220 07 Lund, Sweden, Deakin Business School, Deakin University, 221 Burwood Highway Burwood, Victoria 3125, Australia
NETL
NSTL
Oxford Univ Press
