학술저널
Common Correlated Effects Estimation of Unbalanced Panel Data Models with Cross-Sectional Dependence
- 한국계량경제학회
- JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS
- Vol.27 No.4
-
2016.1225 - 45 (21 pages)
- 7
We consider the estimation and inference of unbalanced panel data models with cross-sectional dependence with a large number of individual units in a relatively short time period. By following the common correlated effects (CCE) approach of Pesaran (2006), we propose a CCE estimator for unbalanced panels (CCE-UB). The asymptotics of the CCE-UB estimator is developed in the paper. Small scale Monte Carlo simulation is conducted to examine the finite sample properties of the proposed estimator.
Abstract
1 Introduction
2 Model and assumptions
3 CCE estimator for unbalance panel with CSD
4 Simulations
5 Conclusion
Appendix
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