Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Common Correlated Effects Estimation of Unbalanced Panel Data Models with Cross-Sectional Dependence

Vol.27, No.4, December , 25–45



  •   (Department of Economics, State University of New York at Binghamton)

  •   (School of Economics, Renmin University of China)

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Abstract  

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.


Keywords
   Common correlated effects, Cross-sectional dependence, Multifactor error structure, Unbalanced panel data model

JEL classification codes
   C01, C12, C13, C33
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