Structural changes in heterogeneous panels with endogenous regressors

• Main Authors: Baltagi, Badi H., Feng, Qu, Kao, Chihwa
• Other Authors: School of Social Sciences
• Format: Article
• Language: English
• Published: 2021
• Subjects: Social sciences::Economic theory; Data Models; Inference
• Online Access: https://hdl.handle.net/10356/147538
• Institution: Nanyang Technological University

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...