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CCE in heterogenous fixed-T panels
[To pool or not to pool: Homogeneous versus heterogenous estimators applied to cigarette demand]

Author

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  • Joakim Westerlund
  • Yousef Kaddoura

Abstract

SummaryThe present paper shows that the CCE approach of Pesaran (2006) is more useful than commonly appreciated, in that it enables consistent and asymptotically normal estimation of interactive effects models with heterogeneous slope coefficients when the number of time periods, T, is fixed and only the number of cross-sectional units, N, is large.

Suggested Citation

  • Joakim Westerlund & Yousef Kaddoura, 2022. "CCE in heterogenous fixed-T panels [To pool or not to pool: Homogeneous versus heterogenous estimators applied to cigarette demand]," The Econometrics Journal, Royal Economic Society, vol. 25(3), pages 719-738.
    • Handle: RePEc:oup:emjrnl:v:25:y:2022:i:3:p:719-738.
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    File URL: http://hdl.handle.net/10.1093/ectj/utac012
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