Common factors and common breaks in panels : an empirical investigation

Common factors and common breaks in panels : an empirical investigation

Unobserved common factors and common breaks are two important features in empirical studies using large panels. Recently, Baltagi, Feng and Kao (2016, 2019) extended Pesaran's (2006) common correlated effects (CCE) approach by allowing for common breaks and endogenous regressors in large hetero...

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Main Author: Feng, Qu
Other Authors: School of Social Sciences
Format: Article
Language:English
Published: 2021
Subjects:
Social sciences::Economic theory
Common Factors
Common Breaks
Online Access:https://hdl.handle.net/10356/147537
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-1475372023-03-05T15:31:03Z Common factors and common breaks in panels : an empirical investigation Feng, Qu School of Social Sciences Social sciences::Economic theory Common Factors Common Breaks Unobserved common factors and common breaks are two important features in empirical studies using large panels. Recently, Baltagi, Feng and Kao (2016, 2019) extended Pesaran's (2006) common correlated effects (CCE) approach by allowing for common breaks and endogenous regressors in large heterogeneous panels. In this note, we empirically investigate these estimators and compare them with CCE and Bai's (2009) interactive fixed effects (IFE) estimators in the context of China's provincial infrastructure investment. Ministry of Education (MOE) Accepted version Financial support from the MOE AcRF, Singapore Tier 1 Grant M4012113 at Nanyang Technological University is gratefully acknowledged. 2021-04-05T08:11:32Z 2021-04-05T08:11:32Z 2020 Journal Article Feng, Q. (2020). Common factors and common breaks in panels : an empirical investigation. Economics Letters, 187, 108897--. https://dx.doi.org/10.1016/j.econlet.2019.108897 0165-1765 https://hdl.handle.net/10356/147537 10.1016/j.econlet.2019.108897 2-s2.0-85076825311 187 108897- en M4012113 Economics Letters © 2019 Elsevier B.V. All rights reserved. This paper was published in Economics Letters and is made available with permission of Elsevier B.V. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic Social sciences::Economic theory
Common Factors
Common Breaks
spellingShingle Social sciences::Economic theory
Common Factors
Common Breaks
Feng, Qu
Common factors and common breaks in panels : an empirical investigation
description Unobserved common factors and common breaks are two important features in empirical studies using large panels. Recently, Baltagi, Feng and Kao (2016, 2019) extended Pesaran's (2006) common correlated effects (CCE) approach by allowing for common breaks and endogenous regressors in large heterogeneous panels. In this note, we empirically investigate these estimators and compare them with CCE and Bai's (2009) interactive fixed effects (IFE) estimators in the context of China's provincial infrastructure investment.
author2 School of Social Sciences
author_facet School of Social Sciences
Feng, Qu
format Article
author Feng, Qu
author_sort Feng, Qu
title Common factors and common breaks in panels : an empirical investigation
title_short Common factors and common breaks in panels : an empirical investigation
title_full Common factors and common breaks in panels : an empirical investigation
title_fullStr Common factors and common breaks in panels : an empirical investigation
title_full_unstemmed Common factors and common breaks in panels : an empirical investigation
title_sort common factors and common breaks in panels : an empirical investigation
publishDate 2021
url https://hdl.handle.net/10356/147537
_version_ 1759853188139188224

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