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https://bura.brunel.ac.uk/handle/2438/33742| Title: | Time Averaged CCE |
| Authors: | Kaddoura, Yousef Karavias, Yiannis Westerlund, Joakim |
| Keywords: | common correlated effects;interactive fixed effects;panel data;14 Economics;Economics |
| Issue Date: | 7-Aug-2026 |
| Publisher: | Wiley on behalf of Oxford University |
| Citation: | Kaddoura, Y., Karavias, Y. and Westerlund, J. (2026) 'Time Averaged CCE', Oxford Bulletin of Economics and Statistics, 0(ahead of print), pp. 1–9. doi: 10.1111/obes.70122. |
| Abstract: | A popular approach to interactive effects panel data models is the common correlated effects (CCE) estimator of Pesaran (Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica <b>74</b>, 967–1012, 2006). The current paper proposes a modified version of this estimator that is useful in a number of cases where the original is not expected to work, such as when the number of cross-sectional units is small. The idea is to use time instead of cross-sectional averages of the observables to purge the interactive effects. |
| Description: | Supporting Information is available online at: https://onlinelibrary.wiley.com/doi/10.1111/obes.70122#support-information-section . |
| URI: | https://bura.brunel.ac.uk/handle/2438/33742 |
| DOI: | https://doi.org/10.1111/obes.70122 |
| ISSN: | 0305-9049 |
| Appears in Collections: | Department of Economics, Finance and Accounting Research Papers * |
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|---|---|---|---|---|
| FullText.pdf | Copyright © 2026 The Author(s). Oxford Bulletin of Economics and Statistics published by Oxford University and John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits use, distribution and reproduction in any medium, provided the original work is properly cited. | 190.85 kB | Adobe PDF | View/Open |
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