Structural changes in heterogeneous panels with endogenous regressors

This paper extends Pesaran's (Econometrica, 2006, 74, 967–1012) common correlated effects (CCE) by allowing for endogenous regressors in large heterogeneous panels with unknown common structural changes in slopes and error factor structure. Since endogenous regressors and structural breaks are...

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Bibliographic Details
Main Authors: Baltagi, Badi H., Feng, Qu, Kao, Chihwa
Other Authors: School of Social Sciences
Format: Article
Language:English
Published: 2021
Subjects:
Online Access:https://hdl.handle.net/10356/147538
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Institution: Nanyang Technological University
Language: English