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Common factors and common breaks in panels: An empirical investigation

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  • Feng, Qu

Abstract

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.

Suggested Citation

  • Feng, Qu, 2020. "Common factors and common breaks in panels: An empirical investigation," Economics Letters, Elsevier, vol. 187(C).
  • Handle: RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304525
    DOI: 10.1016/j.econlet.2019.108897
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    More about this item

    Keywords

    Common factors; Common breaks; Infrastructure investment;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • H54 - Public Economics - - National Government Expenditures and Related Policies - - - Infrastructures
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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